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The early exercise premium in American put option prices

✍ Scribed by Malin Engström; Lars Nordén

Book ID
114339926
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
108 KB
Volume
10
Category
Article
ISSN
1042-444X

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Directly measuring early exercise premiu
Directly measuring early exercise premiums using American and European S&P 500 Index options
✍ Michael Dueker; Thomas W. Miller Jr. 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 210 KB

## Abstract The Chicago Board Options Exchange concurrently listed European‐style and American‐style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early exercise premium in American‐style index o