Nonparametric American option pricing
Jamie Alcock and
Trent Carmichael
Journal of Futures Markets, 2008, vol. 28, issue 8, 717-748
Abstract:
A nonparametric method is introduced to accurately price American‐style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. The accuracy of this method is tested in a controlled experimental environment under both Black, F and Scholes, M (1973) and Heston, S (1993) assumptions, and an error‐metric analysis is performed. These numerical experiments demonstrate that this method is an accurate and precise method of pricing American options under a variety of market conditions. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:717–748, 2008
Date: 2008
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