The Early Exercise Premium for American Options. Empirical Study on Sibex Market
AbstractWithin this paper, we proposed ourselves to test whether the early exercise premium for American put options is related to the moneyness, the time to maturity, the risk free rate and the volatility. Consequently, we used American put options on DESIF5 futures, the period analized being January 2009 – June 2010. The early exercise premium for American put options has been obtained using the put-call parity relationship and this is relevant for identifying arbitrage opportunities. The empirical results of this study are in line with those of Zivney and Sung and emphasize the relevance of the early exercise premium for developing American put options valuation models.
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Bibliographic InfoArticle provided by University of Craiova, Faculty of Economics and Business Administration in its journal Finance - Challenges of the Future.
Volume (Year): 1 (2011)
Issue (Month): 13 (December)
american options; put-call parity relationship; valuation model;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G19 - Financial Economics - - General Financial Markets - - - Other
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