Pricing Interval European Option with the Principle of Maximum Entropy

This paper develops the interval maximum entropy model for the interval European option valuation by estimating an underlying asset distribution. The refined solution for the model is obtained by the Lagrange multiplier. The particle swarm optimization algorithm is applied to calculate the density f...

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Detalles Bibliográficos
Autores principales: Liu, Xiao, Zhou, Rongxi, Xiong, Yahui, Yang, Yuexiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515317/
https://www.ncbi.nlm.nih.gov/pubmed/33267501
http://dx.doi.org/10.3390/e21080788

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515317/
https://www.ncbi.nlm.nih.gov/pubmed/33267501
http://dx.doi.org/10.3390/e21080788

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