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References from Nonparametric estimation of American options’ exercise boundaries and call prices. Local targets link to admitted publications; unresolved targets remain external evidence.
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Nonparametric pricing of interest rate derivative securities
10.2307/2171860 · 1996 · External reference
10.1111/0022-1082.215228
10.1111/0022-1082.215228 · External reference
Unresolved reference
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Kernel smoothing of data with correlated errors
10.1080/01621459.1990.10474936 · 1990 · External reference
Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
10.1016/0304-4076(91)90107-o · 1991 · External reference
Critical stock price near expiration
10.1111/j.1467-9965.1995.tb00103.x · 1995 · External reference
Efficient analytic approximation of American option values
10.1111/j.1540-6261.1987.tb02569.x · 1987 · External reference
The crash of ’87 – was it expected? The evidence from options markets
1991 · External reference
On the theory of option pricing
10.1007/bf00046576 · 1984 · External reference
Efficiency tests of the foreign currency options market
10.1111/j.1540-6261.1986.tb04496.x · 1986 · External reference
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A lattice framework for option pricing with two state variables
10.2307/2331019 · 1988 · External reference
The accelerated binomial option pricing model
10.2307/2331262 · 1991 · External reference
The valuation of American put options
10.2307/2326779 · 1977 · External reference
American option valuation: new bounds, approximations, and a comparison of existing methods
10.1093/rfs/9.4.1211 · 1996 · External reference
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10.1016/s0304-4076(99)00017-2
10.1016/s0304-4076(99)00017-2 · External reference
Pricing callable bonds by means of Green's function
10.1111/j.1467-9965.1996.tb00112.x · 1996 · External reference
Alternative characterizations of American put options
10.1111/j.1467-9965.1992.tb00040.x · 1992 · External reference
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10.2139/ssrn.120028
10.2139/ssrn.120028 · External reference
Option pricing: a simplified approach
10.1016/0304-405x(79)90015-1 · 1979 · External reference
Smoothing noisy data with spline functions
10.1007/bf01404567 · 1979 · External reference
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The rationality of early exercise decisions: evidence from the S&P100 index options markets
10.1093/rfs/6.4.765 · 1993 · External reference
Simulated moments estimation of Markov models of asset prices
10.2307/2951768 · 1993 · External reference
Voluntary conversion of convertible securities and the optimal call strategy
10.1016/0304-405x(89)90059-7 · 1989 · External reference
A new approach to the Skorohod problem and its applications
10.1080/17442509108833675 · 1991 · External reference
Unresolved reference
1988 · External reference
Early exercise of American index options
10.1111/j.1475-6803.1992.tb00793.x · 1992 · External reference
10.1017/s0266466600006976
10.1017/s0266466600006976 · External reference
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Trader rationality in the exercise of futures options
10.1016/0304-405x(89)90062-7 · 1989 · External reference
A note on an analytic formula for unprotected American call options on stocks with known dividends
10.1016/0304-405x(79)90004-7 · 1979 · External reference
The American put options valued analytically
10.1111/j.1540-6261.1984.tb04921.x · 1984 · External reference
10.1016/s0169-7161(96)14007-4
10.1016/s0169-7161(96)14007-4 · External reference
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Indirect inference
10.1002/jae.3950080507 · 1993 · External reference
Unresolved reference
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10.1007/978-1-4612-3686-3
10.1007/978-1-4612-3686-3 · External reference
Unresolved reference
1990 · External reference
10.1016/s1573-4412(05)80007-8
10.1016/s1573-4412(05)80007-8 · External reference
Kernel regression smoothing of time series
10.1111/j.1467-9892.1992.tb00103.x · 1992 · External reference
Martingales and arbitrage in multiperiod securities markets
10.1016/0022-0531(79)90043-7 · 1979 · External reference
Dividends and S&P100 index option valuation
10.1002/fut.3990120202 · 1992 · External reference
Unresolved reference
1990 · External reference
Semiparametric estimation of a work-trip mode choice model
10.1016/0304-4076(93)90113-j · 1993 · External reference
Pricing and hedging American options: a recursive integration method
10.1093/rfs/9.1.277 · 1996 · External reference
A nonparametric approach to pricing and hedging derivative securities via learning networks
10.1111/j.1540-6261.1994.tb00081.x · 1994 · External reference
An examination of corporate call policies on convertible securities
10.1111/j.1540-6261.1977.tb03285.x · 1977 · External reference
Optimal stopping and the American put
10.1111/j.1467-9965.1991.tb00007.x · 1991 · External reference
Recovering probability distributions from option prices
10.1111/j.1540-6261.1996.tb05219.x · 1996 · External reference
On the pricing of American options
10.1007/bf01448358 · 1988 · External reference
The analytic valuation of American options
10.1093/rfs/3.4.547 · 1990 · External reference
The Jacknife and the bootstrap for general stationary observations
10.1214/aos/1176347265 · 1989 · External reference
Optimal excercise boundary for American put options
10.1080/135048698334673 · 1998 · External reference
Unresolved reference
1983 · External reference
Moving blocks jacknife and bootstrap capture of weak dependence
1992 · External reference
Appendix: a free boundary problem for the heat equation arising from a problem in Mathematical Economics
1965 · External reference
Theory of rational option pricing
1973 · External reference
The Pricing of the American Option
10.1214/aoap/1177005768 · 1992 · External reference
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The early exercise of options on treasury bond futures
10.2307/2331082 · 1988 · External reference
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10.2307/3318480
10.2307/3318480 · External reference
10.1017/cbo9781139051996.008
10.1017/cbo9781139051996.008 · External reference
Nonparametric estimators for time series
10.1111/j.1467-9892.1983.tb00368.x · 1983 · External reference
The early exercise premium representation of foreign market American options
10.1111/j.1467-9965.1994.tb00061.x · 1994 · External reference
Rational theory of warrant pricing
1965 · External reference
Joint asymptotic distribution of the estimated regression function at a finite number of distinct points
10.1214/aoms/1177692703 · 1972 · External reference
Unresolved reference
1992 · External reference
On the evaluation of compound options
10.1287/mnsc.33.3.347 · 1987 · External reference
Spline smoothing: the equivalent variable kernel method
10.1214/aos/1176346710 · 1984 · External reference
Unresolved reference
1986 · External reference
Nonparametric time-series estimation of joint DGP, conditional DGP, and vector autoregressions
10.1017/s0266466600010987 · 1985 · External reference
A simple nonparametric approach to derivative security valuation
10.1111/j.1540-6261.1996.tb05220.x · 1996 · External reference
On optimal stopping and free boundary problems
10.1007/bf00250676 · 1976 · External reference
10.1137/1.9781611970128
10.1137/1.9781611970128 · External reference
On the valuation of American call options on stocks with known dividends
10.1016/0304-405x(81)90013-1 · 1981 · External reference
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The value of early exercise in option prices: an empirical investigation
10.2307/2331247 · 1991 · External reference
