The Value of Early Exercise in Option Prices: An Empirical Investigation
利用CBOE标普100期权的实际价格，通过偏离理论看跌-看涨平价关系来推断提前行权的实际价值，发现该价值在统计和经济上均显著，且看跌期权的提前行权价值大于看涨期权。
Previous studies in the valuation of American options apparently undervalue the right of early exercise. This study uses actual prices from the CBOE's S&P 100 option instead of model-generated values. Deviations from the theoretical put-call parity relationship are caused by the possibility of early exercise. These deviations are used to infer the value of early exercise. The actual value of early exercise is both statistically and economically significant. As expected from theoretical considerations, the value of early exercise for put options is greater than for call options.