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...
Main Author: | Doffou, Ako |
---|---|
Format: | Article |
Language: | English |
Published: |
Universiti Utara Malaysia
2009
|
Subjects: | |
Online Access: | https://repo.uum.edu.my/id/eprint/25081/1/IJBF%206%201%202009%2031%2047.pdf |
Similar Items
-
Estimating the Early Exercise Premium of American Put Index Options
by: Ako Doffou
Published: (2009-03-01) -
Assessing the importance of transaction costs in option pricing: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2009) -
Market timing of executive stock option granting and exercising: Evidence from bursa Malaysia
by: Ibrahimy, A.I., et al.
Published: (2012) -
An understanding the determination of life insurance premium: Shariah compliant in the Islamic insurance concept and practice
by: Kusairi, Suhal, et al.
Published: (2015) -
Islamic bond market: An option to investors
by: Mohamed Yusoff, Zuryati
Published: (2004)