search query: @author Finucane, T. / total: 2
reference: 2 / 2
« previous | next »
| Author: | Diz, F. Finucane, T. |
| Title: | The rationality of early exercise decisions: evidence from the S&P 100 index options market |
| Journal: | Review of Financial Studies
1994 : WINTER, VOL. 6:4, p. 765-797 |
| Index terms: | OPTIONS MARKETS RATIONALITY |
| Language: | eng |
| Abstract: | This study provides a comprehensive empirical analysis of the early exercise history of S&P 100 put and call options. Even though the S&P 100 index options market is generally considered to be the most efficient options market in the world, the authors show that many exercise decisions are inefficient because they occur when recorded bids are greater than exercise values. Due to market imperfections, some of the cases of inefficient exercise are still rational, but the authors show that a substantial number of these decisions are clearly irrational. |
« previous | next »
SCIMA