The value of the wildcard option in cash-settled American index options

Autor:	Dennis J. Lasser, Joshua D. Spizman
Rok vydání:	2016
Předmět:	Economics and Econometrics Index (economics) Wildcard Valuation of options Cash media_common.quotation_subject Value (economics) Economics Econometrics Implied volatility Volatility (finance) Finance media_common
Zdroj:	Journal of Financial Markets. 28:116-131
ISSN:	1386-4181
DOI:	10.1016/j.finmar.2015.09.002
Popis:	We estimate the size of the wildcard premium embedded in cash-settled American-style options. Similar to simulation results reported by Fleming and Whaley (1994), we find the wildcard premium significantly impacts the valuations of American-style put and call options. Furthermore, we find that the wildcard premium as a percentage of price is somewhat larger than the Fleming-Whaley simulation in periods of low implied volatility but not in periods of high volatility. Finally, we show a correlation between the size of the wildcard premium and overnight S&P 100 overnight returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e12f27e41866558d1ed773ee0d02ba92 https://doi.org/10.1016/j.finmar.2015.09.002 Zobrazit plný text záznamu Full Text from ScienceDirect