During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

The European put-call parity condition is used to estimate the early exercise premium for
American currency options traded on the Philadelphia Stock Exchange. Using a sample of …

Acknowledgements: The authors thank Hon-Lu Chun, Frans de Roon, Robbie Jones, Peter
Spencer, Yulia Veld-Merkoulova, and participants in the Multinational Finance Society …

One consequence of near zero global interest rates is that American put options are unlikely
to be exercised early, making them almost indistinguishable from their European …

This paper tests the impact of transaction cost specification on deviations from lower
boundary and put-call parity properties. Using PHLX traded foreign exchange options …

This thesis is a collection of three papers that have the valuation of derivative securities as a
common theme. The first paper empirically compares three convertible bond valuation …

Put-call parity is used to study the early exercise premium for currency options traded on the
Philadelphia Stock Exchange. Using 564 pairs of call and put options evidence is provided …

Previous studies on American options have shown that European style models do not reflect
early exercise premium (EEP). This project expands on the Poitras, Veld and Zabolotnyuk …