Haley & Walker (2010) suggest that their use of Cressie-Read family within Stutzer's (1996) non-parametric method for valuing European option might be extended to Alcock & Carmichael's (2008) non-parametric valuation of American options. We derive this suite of non-parametric methods to price...

We test the accuracy and hedging performance of the deltas given by a range of nonparametric measure changes. The nonparametric models accurately estimate deltas across a number of asset price dynamics. The optimal nonparametric measure change displays superior estimation bias, which depends on...

Progressive income taxation regimes can be modelled as a weighted portfolio of European Call options over an individual's gross taxable income. These options are struck at the tax bracket lower bound and weighted by the increment in the marginal tax rate. The government holds a long position in...