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Abstract: The London market trades both European and American style options on the same underlying asset: the FTSE100 stock index. We exploit this special feature to directly estimate the market value of early exercise in American call and put option prices. We use high quality transactions data over more than five years to provide, for the first time, comprehensive transactions data based empirical evidence on these market determined early exercise premia for stock options. We find that changes in the... (Update)
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BibTeX entry: (Update)
@misc{ unni-market,
author = "Sanjay Unni and Pradeep K. Yadav",
title = "Market Value Of Early Exercise: Direct Empirical Evidence From American
Index Option Prices",
url = "citeseer.ist.psu.edu/unni99market.html" }
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