Pricing American Options Using a Nonparametric Entropy Approach

Table 4

Data description of IBM calls and puts.

		Mean	Standard deviation	Minimum	Maximum
Call	Number of options	4430
	Market prices	13.653	14.245	0.075	69.550
	Moneyness 𝑆𝑡/𝐾	1.077	0.329	0.514	2.292
	Expiration	119.008	71.886	16	357
Put	Number of options	4430
	Market prices	13.614	15.188	0.075	75.200
	Moneyness 𝐾/𝑆𝑡	1.010	0.283	0.436	1.946
	Expiration	119.008	71.886	16	357

Note: the call and put prices here are the midvalues of the bid-ask quotations. Moneyness is defined as the IBM stock closing price divided by the strike price, 𝑆_𝑡/𝐾, for call options and the strike price divided by the closing price, 𝐾/𝑆_𝑡, for put options. The time to expiration is measured in days.