Nonparametric estimation of American options' exercise boundaries and call prices

DOI10.1016/S0165-1889(99)00094-9zbMath1032.91591OpenAlexW2067016814MaRDI QIDQ1583161

Eric Ghysels, Jérôme B. Detemple, Olivier Torrès, Mark N. Broadie

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00094-9

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (11)

Nonparametric state price density estimation using constrained least squares and the bootstrap ⋮ Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity ⋮ THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS ⋮ Properties of optimal smooth functions in additive models for hedging multivariate derivatives ⋮ Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis ⋮ Econometric methods for derivative securities and risk management ⋮ Nonparametric risk management and implied risk aversion ⋮ A data and digital-contracts driven method for pricing complex derivatives ⋮ Semi-parametric estimation of American option prices ⋮ Nonparametric function estimation subject to monotonicity, convexity and other shape constraints ⋮ Pricing American options using a nonparametric entropy approach

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