Nonparametric estimation of American options' exercise boundaries and call prices

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2000

Volume: 24

Issue: 11-12

Pages: 1829-1857

Authors (4)

Broadie, Mark (not in RePEc) Detemple, Jerome (Boston University) Ghysels, Eric (University of North Carolina-C...) Torres, Olivier (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count