{"title":"早期运动风险溢价","authors":"K. Aretz, A. Gazi","doi":"10.2139/ssrn.3465453","DOIUrl":null,"url":null,"abstract":"We study the asset pricing implications of being able to optimally early exercise a plain-vanilla put option, contrasting the expected returns of equivalent American and European put options. Standard pricing models with stochastic volatility and asset-value jumps suggest the expected return spread between those option types is positive, can be economically sizable, and widens with a higher early exercise probability, as induced through a higher moneyness, shorter time-to-maturity, or lower underlying-asset volatility. Studying single-stock American put options and equivalent synthetic European options formed from applying put-call parity to American call options on zero-dividend stocks, our empirical work supports our predictions.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":"26 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"The Early Exercise Risk Premium\",\"authors\":\"K. Aretz, A. Gazi\",\"doi\":\"10.2139/ssrn.3465453\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the asset pricing implications of being able to optimally early exercise a plain-vanilla put option, contrasting the expected returns of equivalent American and European put options. Standard pricing models with stochastic volatility and asset-value jumps suggest the expected return spread between those option types is positive, can be economically sizable, and widens with a higher early exercise probability, as induced through a higher moneyness, shorter time-to-maturity, or lower underlying-asset volatility. Studying single-stock American put options and equivalent synthetic European options formed from applying put-call parity to American call options on zero-dividend stocks, our empirical work supports our predictions.\",\"PeriodicalId\":11410,\"journal\":{\"name\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"volume\":\"26 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-12-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3465453\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Capital Markets - Risk eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3465453","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We study the asset pricing implications of being able to optimally early exercise a plain-vanilla put option, contrasting the expected returns of equivalent American and European put options. Standard pricing models with stochastic volatility and asset-value jumps suggest the expected return spread between those option types is positive, can be economically sizable, and widens with a higher early exercise probability, as induced through a higher moneyness, shorter time-to-maturity, or lower underlying-asset volatility. Studying single-stock American put options and equivalent synthetic European options formed from applying put-call parity to American call options on zero-dividend stocks, our empirical work supports our predictions.