#2002-016A "Directly Measuring Early Exercise Premiums Using American and European S&P 500 Index Options"
by Michael J. Dueker, and Thomas W. Miller, Jr.
August 2002

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options. More...

PUBLISHED: Journal of Futures Markets, March 2003, 23(3), pp. 287-313

#1996-013B "Market Microstructure Effects on the Direct Measurement of the Early Exercise Premium in Exchange-Listed Options"
by Michael J. Dueker, and Thomas W. Miller, Jr.
December 1996

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor?s 500 Index from April 2, 1986 through June 20, 1986. We match near-the-money American option quotes with the most nearly contemporaneous, otherwise identical, European option quote. More...