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1. Empirical tests of canonical nonparametric American option-pricing methods

Author

Alcock, Jamie and Auerswald, Diana

Subjects
Canonical correlation (Statistics) -- Usage, Options (Finance) -- Evaluation, Hedging (Finance) -- Methods, Business, Business, general
Abstract

The article presents a recently developed method, which can be used for the pricing of American-style options usually derived from the canonical valuation. The extension of the technique is shown to be extremely accurate, hence leading to lower pricing errors.

Published
2010

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