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- W2249000933 abstract "In this paper we build on the possibility that the use of the Cressie–Read family with the non-parametic method for valuing European option might be extended to non-parametric valuation of American options. We derive a suite of non-parametric methods to price and hedge American-style options, utilising the Cressie-Read family of divergences. We test the efficacy of these methods using a large sample of traded American-style options struck on the S&P100 index. We find that in general, our suite of non-parametric valuation schemes generate more accurate price estimates than traditional parametric schemes, especially for longer-dated options." @default.
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- W2249000933 date "2016-04-20" @default.
- W2249000933 modified "2023-10-18" @default.
- W2249000933 title "Non-parametric American option valuation using Cressie–Read divergences" @default.
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- W2249000933 doi "https://doi.org/10.1177/0312896215622799" @default.
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