caa a22 4500 386309078 CHVBK 20180307111539.0 cr unu---uuuuu 161130e198812 xx s 000 0 eng 10.2307/2331082 doi S0022109000013260 pii (NATIONALLICENCE)cambridge-10.2307/2331082 Overdahl James A. The Early Exercise of Options on Treasury Bond Futures [Elektronische Daten] [James A. Overdahl] This paper presents a test of the theory of rational option exercise. Exercise data from the market for options on Treasury bond futures are used to test the model of rational early exercise developed by Barone-Adesi and Whaley (1987) (BAW). The results show that the BAW model underestimates the futures price that will trigger exercise for calls and overestimates this price for puts. The exercise bias is observed to change across option maturities and the direction of the bias is consistent with the direction of the model-pricing bias observed by Whaley (1986). Copyright © School of Business Administration, University of Washington 1988 Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 437-449 0022-1090 23:4<437 1988 23 JFQ https://doi.org/10.2307/2331082 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331082 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Overdahl James A. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 437-449 0022-1090 23:4<437 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge