Research Article
Pricing American Options Using a Nonparametric Entropy Approach
Table 1
Recovered moments and their theoretical values for a range of initial underlying prices in the simulation.
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Note: the first two moment estimates for with each of the underlying prices are compared to their corresponding theoretical values under the GBM, calculated by (19) with the parameters , , , . These moments are recovered using only 8 call options discussed in Section 3.2. For both moments, the top row reports the estimated values, and the bottom row reports the theoretical (true) values. |