Directly measuring early exercise premiums using American and European S&P 500 Index options

Article Abstract:

The Chicago Board Options Exchange listed both American-style and European-style options on Standard and Poor's 500 Index during the period of April 2, 1986 to June 20, 1986. This study uses the asking quotes of that time to directly measure the early exercise premiums of American-style index options, creating a matched-pair sampling of ask and bid quotes for identical European and American options

Science & research, Labor Distribution by Employer, Research, Statistics, Futures market, Futures markets, Commodities industry, Chicago Board Options Exchange Inc., Commodity options, Commodity price indexes

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Too many options? Theory and evidence on option exchange design

Article Abstract:

A new model of option exchange design is proposed and tested for helping investors to select exchange-traded stock options based on transaction costs and standardization costs.

Management dynamics, Models, Management, Investments, Stock options, Company business management, Options exchanges

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