Nonparametric American option pricing
提出一种仅使用历史股价数据而非期权价格数据的美式期权非参数定价方法，在布莱克-斯科尔斯和赫斯顿假设下测试，实验表明该方法在各种市场条件下准确且精确。
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