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One consequence of near zero global interest rates is that American put options are unlikely to be exercised early, making them almost indistinguishable from their European counterparts. This study examines the dependence of the early exercise probability (EEP) on the dividend yield to interest rate ratio and other parameters. A numerical procedure for accurate calculation of the EEP along with an easy‐to‐check condition for almost‐never‐early‐exercise (ANEE) are developed. An examination of 100 CBOE actively traded American put options on dividend‐paying stocks from September 1, 2011 through August 31, 2013 shows that most of them satisfy the ANEE condition under today's low interest rates. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:1154–1172, 2015

Purpose -The purpose of this paper is to use the Black-Scholes-Merton option pricing model to evaluate the incremental performance of an eChannel addition. Design/methodology/approach -Data were collected from 53 Taiwan financial services firms. In total, 33 of them introduced their online services, whereas the other 20 firms did not introduce their online services during the period under examination. Findings -The research findings show that firm asset values increase following eChannel additions. Thus, eChannel additions enhance firm financial performance. A further analysis comparing the performance between firms with and without eChannel additions also shows that firms with eChannel additions have higher asset value growth rates, which further validates the capacity of eChannel additions to enhance financial performance. Practical implications -Managers and shareholders in firms making eChannel additions are not required to be concerned regarding stock price volatility, and managers in firms without any eChannel investment could use eChannels to enhance their stock price and seize future opportunities. Using eChannel is a valid approach for firms to provide enhanced services to current customers, access new markets, and extend market coverage, thus enhancing overall financial performance. Investors could confide those firms implementing eChannel additions. Originality/value -Studies investigating whether eChannel additions enhance firm financial performance are scant. No study has evaluated performance from a long-term perspective or from a volatility aspect (both are important considerations in eChannel performance evaluation). The research represents a pioneering work that empirically investigates these issues.

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This paper studies how the lasting effects of common credit events influence default probability distribution and the prices of multiname credit derivatives.Based on a joint defaults model where common credit events are used to generate simultaneous defaults, we extend the model to allow for their impacts to last for a longer while. The default intensity of each entity is heightened significantly while the impact still has an influence, until some time later when this effect fades away. Incorporating these lasting effects helps to generate higher default correlation, which is more consistent with today's highly correlated financial markets.The proposed model can be either formulated as a Markov chain or implemented by Monte Carlo simulation in order to calculate the default probability distributions and multiname derivatives prices. Our numerical results demonstrate the strong influences from the lasting effects and provide a justification of their incorporation.