Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps
使用快速数值方法分析道琼斯指数成分股短期美式看涨期权的投资者提前行权数据，发现考虑随机波动率和跳跃的定价模型能解释部分次优行权损失，但大部分损失仍无法由交易费用解释。
Using a fast numerical technique, we investigate a large database of investors’ suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modeling of the discrete dividend is essential for a correct calculation of the early exercise boundary, as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black–Scholes–Merton benchmark cuts the amount lost by investors through suboptimal exercise by one-quarter. The remaining three-quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise.