Nonparametric Estimation of American OptionsExercise Boundaries and Call Prices *

@inproceedings{Mark1996NonparametricEO,
  title={Nonparametric Estimation of American OptionsExercise Boundaries and Call Prices *},
  author={N C Mark and BroadieyJ{\'e}r{\^o}me and DetemplezEric and GhyselsxOlivier and Torr{\`e}s},
  year={1996}
}
Unlike European-type derivative securities, there are no simple analytic valuation formulas for "nite-lived American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this paper is to rely on nonparametric statistical methods using market data to estimate the call prices and the exercise boundaries. A comparison is made with parametric constant volatility model… CONTINUE READING

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