Directly measuring early exercise premiums using American and European S&P 500 Index options

Authors :: Dueker, Michael
Miller, Thomas W.
Source :: Journal of Futures Markets. March, 2003, Vol. 23 Issue 3, p287, 27 p.
Publication Year :: 2003
Abstract: The Chicago Board Options Exchange listed both American-style and European-style options on Standard and Poor's 500 Index during the period of April 2, 1986 to June 20, 1986. This study uses the asking quotes of that time to directly measure the early exercise premiums of American-style index options, creating a matched-pair sampling of ask and bid quotes for identical European and American options

Subjects :: Chicago Board Options Exchange Inc. -- Research
Futures market -- Statistics
Futures market -- Research
Commodities industry -- Research
Commodity options -- Research
Commodity price indexes -- Research
Business
Business, general

Tools