The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor?s 500 Index from April 2, 1986 through June 20, 1986. We match near-the-money American option quotes with the most nearly contemporaneous, otherwise identical, European...

This paper introduces four models of conditional heteroskedasticity that contain markov switching parameters to examine their multi-period stock-market volatility forecasts as predictions of options-implied volatilities. The volatility model that best predicts the behavior of the optionsimplied...

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options....