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Comparative pricing of American and European index options: An empirical analysis

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  • Paul Dawson

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  • Paul Dawson, 1994. "Comparative pricing of American and European index options: An empirical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(3), pages 363-378, May.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:3:p:363-378
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    Cited by:

    1. Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
    2. Lasser, Dennis J. & Spizman, Joshua D., 2016. "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, vol. 28(C), pages 116-131.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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