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From my understanding, we have to integrate $N(d1(S_x-D,B,t))$ on both asset-price and time-space to derive the Early Exercise Premium $EEP(B,t)$ on each $t$ before the ex-date to get current early exercise premium $EEP(S,0)$. Where $$S_x = S \exp((r-\sigma^2/2) t + x \sigma \sqrt{t})$$ Is this correct?

When I use carry and vol backed out from European option prices, continuous div EEP is at bid of American quotes, which is correct. But when I use discrete cash div version EEP is a fraction of the continuous one, which takes American price below payoff which is wrong. I apply the same method on backing out carry with discrete div which only returns implied borrow/lending fee that I use to plug in as q.

Thanks.

https://www.researchgate.net/publication/251443198_The_early_exercise_premium_for_American_put_options_on_stocks_with_dividends


EEB for div yield Call EEB for fixed cash div

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