Open AccessOption Investor Rationality Revisited: The Role of Exercise Boundary Violations
Author(s) -
Robert H. Battalio,
Stephen Figlewski,
Robert Neal
Publication year - 2017
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2978812
Subject(s) - rationality , boundary (topology) , physical medicine and rehabilitation , psychology , cognitive psychology , economics , medicine , political science , law , mathematics , mathematical analysis
The authors dispute the theory that American call options should not be exercised early. By looking at intraday pricing, they find that the best bid price available is often lower than the option’s...
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