Early Exercise and Put Risk Premia
Accounting for optimal early exercise, American puts show less negative raw returns but more negative delta‑hedged returns than European puts, changing which option anomalies look profitable.
Featured in No. 117 on 27 Oct 2025 · on release day
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- 27 Oct 2025
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- No. 117 · 27 Oct 2025
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- RePEc:inm:ormnsc:v:71:y:2025:i:2:p:1824-1845
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