RNMs-Constrained Entropic Least-Squares Valuation of American Options

摘要：

　　An entropy pricing framework (Stutzer (1996),Alcock and Carmichael (2008) and Liu(2010)) is extended in this article by incorporating several informative risk-neutral moments (RNMs) for deriving the risk-neutral measure.The RNMs of the underlying asset return are extracted using a set of option data and thus the resulting risk-neutral measure can suciently capture useful information such as volatility smile and fat tails of underlying distribution.The results,based on simulations and the IBM op- tion contracts,demonstrate that the extended method produces smaller pricing errors compared to other competing methods.Implementation of our method is simple and straightforward.

关键词： Risk neutral moments and distribution Maximum entropy Least-squares Monte Carlo American option valuation

作者: Xisheng Yu Li Yang Xiaoke Xie

作者单位: School of Economic Mathematics,Southwestern University of Finance and Economics School of Banking and Finance,University of New South Wales Department of Economics and Management,Sichuan Vocational and Technical College of Communications

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 388-449

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）