This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the S&P100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan (1986) & Barone-Adesi and...

This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the S&P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan, Barone-Adesi and Whaley...