文章基本信息

标题：The Early Exercise Premium for American Options. Empirical Study on Sibex Market
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作者：Pochea, Maria-Miruna ; Filip, Angela-Maria
期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2011
卷号：1
期号：13
页码：188-197
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：Within this paper, we proposed ourselves to test whether the early exercise premium for American put options is related to the moneyness, the time to maturity, the risk free rate and the volatility. Consequently, we used American put options on DESIF5 futures, the period analized being January 2009 – June 2010. The early exercise premium for American put options has been obtained using the put-call parity relationship and this is relevant for identifying arbitrage opportunities. The empirical results of this study are in line with those of Zivney and Sung and emphasize the relevance of the early exercise premium for developing American put options valuation models.
关键词：american options; put-call parity relationship; valuation model