Xisheng Yu

Southwestern University of Finance and Economics (SWUFE)

55 Guanghuacun St,

Chengdu, Sichuan 610074

China

SCHOLARLY PAPERS

2

DOWNLOADS

285

CITATIONS

1

Scholarly Papers (2)

1.

Entropic Least-Squares Valuation of American Options Subject to Moment Constraints

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 62 Posted: 22 Aug 2011 Last Revised: 05 Dec 2012
Xisheng Yu and Li Yang
Southwestern University of Finance and Economics (SWUFE) and UNSW Australia Business School, School of Banking and Finance
Downloads 145 (158,110)

Abstract:

Risk neutral moments; Maximum entropy; Risk neutral measure; least-squares Monte Carlo; American option pricing

2.

Canonical Least-Squares Monte Carlo: Empirical Evidences from S&P 100 Index and IBM Puts

Number of pages: 15 Posted: 24 Mar 2010
Qiang Liu and Xisheng Yu
Southwestern University of Finance and Economics - School of Finance and Southwestern University of Finance and Economics (SWUFE)
Downloads 126 (166,498)
Citation 1

Abstract:

canonical least-squares Monte-Carlo, CLM; American options, OEX put, IBM put, S&P 100 Index, empirical study