Haley, M. Ryan; Walker, Todd B. - In: Journal of Futures Markets 30 (2010) 10, pp. 983-1006
This study generalizes the nonparametric approach to option pricing of Stutzer, M. (1996) by demonstrating that the canonical valuation methodology introduced therein is one member of the Cressie–Read family of divergence measures. Alhough the limiting distribution of the alternative measures...