Alcock and Carmichael (2008) introduce a nonparametric method for pricing American style options that is derived from the canonical valuation developed by Stutzer (1996). While the statistical properties of this nonparametric pricing methodology have been studied in a controlled simulation...

A nonparametric method of pricing American options was recently developed that requires only historical underlying price data (Alcock and Carmichael, 2008). We derive an extension to this method to include conditioning information from a small number of observed option prices. This additional...

We study a unique data set in order to examine the performance of a sample of 169 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing...