An Empirical Examination of the Pricing of American Put Options
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Cited by:
- Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
- Frans De Roon & Chris Veld, 1996.
"An empirical investigation of the factors that determine the pricing of Dutch index warrants,"
European Financial Management, European Financial Management Association, vol. 2(1), pages 97-112, March.
- de Roon, F.A. & Veld, C.H., 1994. "An empirical investigation of the factors that determine the pricing of Dutch index warrants," Other publications TiSEM 0f073a3a-28ea-495e-a119-b, Tilburg University, School of Economics and Management.
- de Roon, F.A. & Veld, C.H., 1994. "An empirical investigation of the factors that determine the pricing of Dutch index warrants," Discussion Paper 1994-110, Tilburg University, Center for Economic Research.
- Michael Dueker & Thomas W. Miller Jr., 2003.
"Directly measuring early exercise premiums using American and European S&P 500 Index options,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(3), pages 287-313, March.
- Michael J. Dueker & Thomas W. Miller, 2002. "Directly measuring early exercise premiums using American and European S&P 500 index options," Working Papers 2002-016, Federal Reserve Bank of St. Louis.
- David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
- feng dai, 2004. "The Partial Distribution: Definition, Properties and Applications in Economy," Econometrics 0403008, University Library of Munich, Germany.
- Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 449-474.
- Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
- 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.
- Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.
- 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.
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