Fig. 27From: Early exercise premium method for pricing American options under the J-model Δ J ‐ ε 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%, J-am (λ = −1.6 and θ = 0.769)Back to article page