search query: @indexterm PUT OPTIONS / total: 16
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| Author: | Engstrom, M. Norden, L. |
| Title: | The early exercise premium in American put option prices |
| Journal: | Journal of Multinational Financial Management
2000 : SEP-DEC, VOL. 10:3/4, p. 461-480 |
| Index terms: | FINANCIAL MANAGEMENT PUT OPTIONS PRICES |
| Language: | eng |
| Abstract: | This study estimates the value of the early exercise premium in American put option prices using Swedish equity options data. The value of the premium is found as the deviation of the American put price from European put-call parity, and in addition a theoretical estimate of a theoretical premium is computed. The empirically found premium is also used in a modified version of the control variate approach to value American puts. |
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