Nonparametric predictive inference for American option pricing based on the binomial tree model

DOI10.1080/03610926.2020.1764040OpenAlexW3020975098MaRDI QIDQ5079089

Tahani Coolen-Maturi, Ting He, Frank P. A. Coolen

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/30743/1/30743.pdf

zbMATH Keywords

American optionimprecise probabilitynonparametric predictive inferenceCox-Ross-Rubinstein binomial tree model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Introduction to Imprecise Probabilities
• Posterior Distribution of Percentiles: Bayes' Theorem for Sampling from a Population

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