We introduce a novel semi-parametric estimator of American option prices in discrete time. The specification is based on a parameterized stochastic discount factor and is nonparametric w.r.t. the historical dynamics of the Markovian state variables. The historical transition density estimator...

We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework. The estimator is based on a parametric specification of the stochasticdiscount factor and is non-parametric w.r.t. the historical dynamics of the state variables. The...

We compare non-nested parametric specifications of the Stochastic Discount Factor (SDF) in terms of their conditional Hansen-Jagannathan (HJ-) distance. This distance is defined as the discrepancy between a parametric SDF family identifying an asset pricing model and the set of admissible SDF's...

We compare non-nested parametric specifications of the Stochastic Discount Factor (SDF) using the conditional Hansen-Jagannathan (HJ-) distance. This distance measures the discrepancy between a parametric model-implied SDF and the admissible SDF's satisfying all the conditional (dynamic)...