THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
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Publication:3084604
DOI10.1111/j.1467-9965.2010.00427.xzbMath1232.91727OpenAlexW2100590044MaRDI QIDQ3084604
O. E. Göttsche, Michel H. Vellekoop
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00427.x
integral equationfree boundary problemoptimal stoppingBlack-Scholes modelAmerican optiondiscrete dividend
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ Spiking the Volatility Punch ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
Cites Work
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- The Pricing of Options and Corporate Liabilities
- The pricing of the American option
- On optimal stopping and free boundary problems
- Reflected BSDEs and mixed game problem
- Local times, optimal stopping and semimartingales
- A change-of-variable formula with local time on curves
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- ON THE AMERICAN OPTION PROBLEM
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