Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles

DOI10.1007/s40995-017-0206-0zbMath1376.91165OpenAlexW2278457050MaRDI QIDQ1678729

Pranesh Kumar, Mohamadtaghi Rahimi, Gholam Hossein Yari

Publication date: 20 November 2017

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-017-0206-0

zbMATH Keywords

option pricingMonte Carlo simulationBlack-Scholes modelentropy optimizationexpectation-maximization (EM) algorithmmulti-period multi-criteria

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Credibility measure for intuitionistic fuzzy variables

Cites Work

• A Mathematical Theory of Communication
• The Pricing of Options and Corporate Liabilities
• Option valuation by a self-exciting threshold binomial model
• A note on first-passage times of continuously time-changed Brownian motion
• Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
• Binary option pricing using fuzzy numbers
• Stochastic calculus for finance. II: Continuous-time models.
• Richter's local limit theorem and Black-Scholes type formulas
• American option pricing with imprecise risk-neutral probabilities
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Analytical binomial lookback options with double-exponential jumps
• Simulation and the Monte Carlo Method
• Elements of Information Theory

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