A classic result by Merton (1973) is that, except just before expiration or dividend payments,
one should never exercise a call option and never convert a convertible bond. We show …

ABSTRACT US exchange‐traded stock options are exercisable before expiration. While put
options should frequently be exercised early to earn interest, they are not. In this paper, we …

Designed as a text for postgraduate students of management, commerce, and financial
studies, this compact text clearly explains the subject without the mathematical complexities …

In the US, exchange-traded options are unprotected from cash dividend payments on the
underlying stock. Consequently, it may become optimal to exercise deep in-the-money call …

This paper documents striking evidence that stocks with a sufficiently large amount of deeply
in-the-money call options experience a significant return drop of 0.8 percentage point on …

Theory says an American call should never be exercised early, except possibly just before
an ex-dividend date. But the best market bid is regularly lower than the intrinsic value for in …

We study the asset pricing implications of being able to optimally early exercise plain-vanilla
puts, contrasting expected raw and delta-hedged returns across equivalent American and …

The authors dispute the theory that American call options should not be exercised early. By
looking at intraday pricing, they find that the best bid price available is often lower than the …

The optimal-exercise policy of an American option dictates when the option should be
exercised. In this paper, we consider the implications of missing the optimal exercise time of …

Using Swedish equity option data, this study investigates how well the actual exercise
behavior of American put options corresponds to the early exercise rules. The optimal …