Variance risk premiums of commodity ETFs

We propose a model-independent method to account for the early exercise premiums in American options on non-dividend paying stocks. We find that our estimates of early exercise premium are generally larger than the estimates by existing methods. Given the American options on the Exchange-Traded Fund...

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Bibliographic Details
Main Authors: TEE, Chyng Wen, TING, Christopher H. A.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5020
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6019/viewcontent/Variance_Risk_Premiums_of_Commodity_ETFs_pp.pdf
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Institution: Singapore Management University
Language: English