Variance risk premiums of commodity ETFs

• المؤلفون الرئيسيون: TEE, Chyng Wen, TING, Christopher H. A.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Finance and Financial Management
• الوصول للمادة أونلاين: 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

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...