Kutner, George W; Porter, David C; Thatcher, John G - In: Journal of Financial Research 24 (2001) 2, pp. 239-59
We extend the quadratic approximation method to examine American-style options traded using futures-style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures-style call options traded...