An American Call IS Worth More than a European Call: The Value of American Exercise When the Market is Not Perfectly Liquid-Reference-Cited by-同舟云学术

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An American Call IS Worth More than a European Call: The Value of American Exercise When the Market is Not Perfectly Liquid

Published:2021-04-20 Issue: Volume: Page:1-63
ISSN:0022-1090
Container-title:Journal of Financial and Quantitative Analysis
language:en
Short-container-title:J. Financ. Quant. Anal.

Author:

Figlewski Stephen

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Early Exercise Risk Premium;Management Science;2024-05-21

2. An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options;Journal of Futures Markets;2024-04-10

3. Early exercise, implied volatility spread and future stock return: Jumps bind them all;Journal of Futures Markets;2024-02-16

4. Early Exercise, Implied Volatility Spread and Future Stock Return: Jumps Bind Them All;SSRN Electronic Journal;2023

5. On the exercise of American quanto options;The North American Journal of Economics and Finance;2022-11

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