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Empirical option pricing: a retrospection

✍ Scribed by David S. Bates


Book ID
108432678
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
177 KB
Volume
116
Category
Article
ISSN
0304-4076

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## 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 statistica