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Discrete Dynamics in Nature and Society
Volume 2014 (2014), Article ID 369795, 16 pages
Pricing American Options Using a Nonparametric Entropy Approach
1School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China
2Australian School of Business, University of New South Wales, NSW 2052, Australia
Received 4 February 2014; Accepted 7 March 2014; Published 8 May 2014
Academic Editor: Fenghua Wen
Copyright © 2014 Xisheng Yu and Li Yang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citations to this Article [2 citations]
The following is the list of published articles that have cited the current article.
- Xisheng Yu, and Qiang Liu, “Canonical Least-Squares Monte Carlo Valuation of American Options: Convergence and Empirical Pricing Analysis,” Mathematical Problems in Engineering, vol. 2014, pp. 1–13, 2014.
- Congyin Fan, Kaili Xiang, and Peimin Chen, “Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model,” Discrete Dynamics in Nature and Society, vol. 2016, pp. 1–9, 2016.