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The Early Exercise ...
The Early Exercise Premium in American Put Option Prices
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- Nordén, Lars (författare)
- Stockholms universitet,Företagsekonomiska institutionen
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- Engström, Malin (författare)
- Stockholms universitet,Företagsekonomiska institutionen
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(creator_code:org_t)
- 2000
- 2000
- Engelska.
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Ingår i: Journal of Multinational Financial Management. - 1042-444X .- 1873-1309. ; 10, s. 461-479
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This study estimates the value of the early exercise premium in American put option prices using Swedish equity options data. The value of the premium is found as the deviation of the American put price from European put-call parity, and in addition a theoretical estimate of the premium is computed. The empirically found premium is also used in a modified version of the control variate approach to value American puts. The results indicate a substantial value of the early exercise premium, where the premium derived from put-call parity is higher than the theoretical premium. The premium also increases with moneyness and time left to expiration, while the effect of interest rate and volatility depends on the moneyness of the option. The modified control variate technique works reasonably well relative the theoretical models. In particular, for deep in-the-money options, this technique is superior.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Business studies
- Företagsekonomi
- företagsekonomi
- Business Administration
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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