Empirical tests of canonical nonparametric American option‐pricing methods
检验了Alcock和Carmichael提出的非参数美式期权定价方法的实证有效性，并引入扩展方法利用少量观测期权价格信息，发现扩展方法在S&P100指数期权上定价误差显著降低，尤其对虚值美式看跌期权表现良好。
Abstract Alcock and Carmichael (2008, The Journal of Futures Markets , 28, 717–748) introduce a nonparametric method for pricing American‐style options, that is derived from the canonical valuation developed by Stutzer (1996, The Journal of Finance , 51, 1633–1652). Although the statistical properties of this nonparametric pricing methodology have been studied in a controlled simulation environment, no study has yet examined the empirical validity of this method. We introduce an extension to this method that incorporates information contained in a small number of observed option prices. We explore the applicability of both the original method and our extension using a large sample of OEX American index options traded on the S&P100 index. Although the Alcock and Carmichael method fails to outperform a traditional implied‐volatility‐based Black–Scholes valuation or a binomial tree approach, our extension generates significantly lower pricing errors and performs comparably well to the implied‐volatility Black–Scholes pricing, in particular for out‐of‐the‐money American put options. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:509–532, 2010