<section xml:id="fut21602-sec-0001"> Haley and Walker [Haley, M.R., & Walker, T. (2010). Journal of Futures Markets, 30, 983–1006] present the Euclidean and Empirical Likelihood nonparametric option pricing models as alternative tilts to Stutzer's [Stutzer, M. (1996). Journal of Finance, 51, 1633–1652] Canonical pricing...</section>

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...