Pricing American options: RNMs-constrained entropic least-squares approach

Author:

Yu Xisheng,Xie Xiaoke

Funder

National Natural Science Foundation of China

Scientific Research Fund of SiChuan Provincial Education Department

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. An algorithm for finding the distribution of maximal entropy;Agmon;Journal of Computational Physics,1979

2. Empirical tests of canonical nonparametric American option pricing methods;Alcock;Journal of Futures Markets,2010

3. Nonparametric American option pricing;Alcock;Journal of Futures Markets,2008

4. Nonparametric estimation of state-price densities implicit in financial asset prices;Aït-Sahalia;Journal of Finance,1998

5. Spanning and derivative-security valuation;Bakshi;Journal of Financial Economics,2000

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1. A unified entropic pricing framework of option: Using Cressie-Read family of divergences;The North American Journal of Economics and Finance;2021-11

2. A new approach for pricing discounted American options;Communications in Nonlinear Science and Numerical Simulation;2021-06

3. Hedging and pricing early-exercise options with complex fourier series expansion;The North American Journal of Economics and Finance;2020-11

4. Risk-Neutrality of RND and Option Pricing within an Entropy Framework;Entropy;2020-07-30

5. Pricing Interval European Option with the Principle of Maximum Entropy;Entropy;2019-08-13

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