American options with stochastic dividends and volatility: a nonparametric investigation

Article Abstract:

Use of the nonparametric statistical method in valuating stock options with stochastic volatility and dividends is discussed. The impact of volatility and dividends on option pricing and investors' exercise decisions is analyzed. Stock price models with stochastic volatility are also offered.

Stochastic analysis

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Bayesian analysis of contingent claim model error

Article Abstract:

Use of contingent claim models to evaluate stock call options is discussed. Additional details on the Black-Scholes model and use of the Bayesian estimator are also included.

Bayesian statistical decision theory, Bayesian analysis

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Nonparametric estimation of American options' exercise boundaries and call prices

Article Abstract:

A nonparametric estimation of American options' exercise boundaries and call boundaries is presented.

Research

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