Estimating the Early Exercise Premium of American Put Index Options
This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the S&P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan and Barone-Adesi and Whaley m...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2009-02-01
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| Series: | International Journal of Banking and Finance |
| Online Access: | https://www.scienceopen.com/document?vid=e1fa2d37-2a43-4c64-9fef-dfa346295cbb |