Yu, Xisheng; Xie, Xiaoke - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 155-173
Recently the entropy-based valuation of European options (Stutzer, 1996) has been extended to American option pricing. In this paper, we improve the pricing accuracy by incorporating informative risk-neutral moments (RNMs), which are recovered from a set of market-available option data, as...