Nonparametric estimation of American options' exercise boundaries and call prices

DOI10.1016/S0165-1889(99)00094-9MaRDI QIDQ1583161zbMATH OpenOpenAlexFDO

Authors Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès

Publication date 26 October 2000

Published in Journal of Economic Dynamics and 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)

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Cited in

(15)

• 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
• American options with stochastic dividends and volatility: a nonparametric investigation
• Pricing American options using a nonparametric entropy approach
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives
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• The early exercise premium in American options by using nonparametric regressions
• 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
• Joint arbitrage-free smoothing of American call and put options surfaces

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