scholarly journals Market Microstructure Effects on the Direct Measurement of the Early Exercise Premium in Exchange-Listed Options

1996 ◽  
Author(s):  
Michael J. Dueker ◽  
Thomas W. Miller Jr.
Keyword(s):  
Direct Measurement ◽  
Market Microstructure ◽  
Early Exercise ◽  
Microstructure Effects ◽  
Early Exercise Premium

THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS

2018 ◽  
Vol 21 (07) ◽  
pp. 1850039
Author(s):  
WEIPING LI ◽  
SU CHEN
Keyword(s):  
Mean Square Error ◽  
Nonparametric Regression ◽  
American Options ◽  
Mean Square ◽  
Early Exercise ◽  
American Put Option ◽  
Put Option ◽  
Out Of Sample ◽  
American Put ◽  
Early Exercise Premium

The early exercise premium and the price of an American put option are evaluated by using nonparametric regression on the time to expiration, the moneyness and the volatility of underlying assets. In terms of mean square error (MSE), our nonparametric methods of American put option pricings outperform the existing classical methods for both in-the-sample (1 September 2011–31 January 2012) and out-of-sample (1 September 2012–28 February 2013) testings on the S&P 100 Index (OEX). Our methods have better predictions and more accurate approximations. The Greek letters for both the early exercise premium and the American put option are computed numerically.

Market microstructure effects on volatility at the TAIFEX

2007 ◽  
Vol 27 (12) ◽  
pp. 1219-1243 ◽  
Author(s):  
Robert I. Webb ◽  
Jayaram Muthuswamy ◽  
Reuben Segara
Keyword(s):  
Market Microstructure ◽  
Microstructure Effects

scholarly journals Semimartingale Local Time and the American Put Option

2006 ◽  
Vol 13 (2) ◽  
pp. 199-214
Author(s):  
Petre Babilua
Keyword(s):  
Local Time ◽  
One Dimensional ◽  
Early Exercise ◽  
American Put Option ◽  
Put Option ◽  
A Value ◽  
Continuous Semimartingale ◽  
American Put ◽  
Semimartingale Local Time ◽  
Early Exercise Premium

Abstract A new result is obtained on the vanishing of the local time of a non-negative continuous semimartingale at zero. Based on this result, an early exercise premium representation of a value function of the American put option is obtained in a one-dimensional general diffusion model.

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