We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...

Non-parametric data envelopment analysis (DEA) estimators based on linear programmingmethods have been widely applied in analyses of productive efficiency. Thedistributions of these estimators remain unknown except in the simple case of one inputand one output, and previous bootstrap methods...