Calculating American Early Exercise Premium

Posted by nabbleuser2008 on Aug 25, 2008; 3:30pm
URL: http://quantlib.414.s1.nabble.com/Calculating-American-Early-Exercise-Premium-tp1575.html

Hi,
 I'm trying to calculate the european option price from an american by taking out the early exercise premium. I first use FDDividendAmericanEngine to calculte the implied vol, then use  Barone-Adesy and Whaley engine and Black Scholes engines to calculate the american and european prices which I thought would allow me to get the american premium.

 But, when I do this calculation, my two option prices always match. Do you think my above thinking is flawed or it could be due to a programming error on my part. Anycase, if you have a  better alternative for what I'm trying to do, I really appreciate to hear that too.

 Thank you very much.

C