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- W2097789162 abstract "This study is an ex post performance test comparing the accuracy of an American model to a European model for valuing listed options. Specifically, the Geske and Johnson American put valuation model is compared with the Black and Scholes European put model. On average, both models undervalue, relative to market prices, put options. However, the Geske and Johnson model values are significantly closer to market prices than are the Black and Scholes values." @default.
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- W2097789162 date "1988-03-01" @default.
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- W2097789162 title "An Empirical Examination of the Pricing of American Put Options" @default.
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- W2097789162 doi "https://doi.org/10.2307/2331020" @default.
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