Fig. 25From: Early exercise premium method for pricing American options under the J-model Δ J ‐ am as a function of moneyness, for various values of time to maturity, Parameters values: K = 100, τ =0.5, σ = 10%, r = 5%, Q = 5%, with (λ = 1.6 and θ = 0.769)Back to article page