Gray, Philip; Edwards, Shane; Kalotay, Egon - In: Journal of Futures Markets 27 (2007) 8, pp. 771-790
Canonical valuation is a nonparametric method for valuing derivatives proposed by M. Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio have been studied in simulation settings, applications of the methodology to traded derivative data are rare. This...