THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS

DOI10.1111/J.1467-9965.2010.00427.XMaRDI QIDQ3084604zbMATH OpenOpenAlexFDO

Authors O. E. Göttsche, M. 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

zbMATH Keywords

integral equationAmerican optionfree boundary problemoptimal stoppingBlack-Scholes modeldiscrete dividend

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Regularity of the exercise boundary for American put options on assets with discrete dividends
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Optimal stopping and American options with discrete dividends and exogenous risk
• The critical price for the American put in an exponential Lévy model
• An integral equation for American put options on assets with general dividend processes
• Regularity of the free boundary for the American put option
• Analysis of the free boundary for the pricing of an American call option
• Asymptotic approximations for Asian, European, and American options with discrete averaging or discrete dividend/coupon payments
• American options on assets with dividends near expiry
• Asymptotic analysis of American call options

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A change-of-variable formula with local time on curves
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Local times, optimal stopping and semimartingales
• ON THE AMERICAN OPTION PROBLEM
• On optimal stopping and free boundary problems
• Optimal Stopping and the American Put
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Reflected BSDEs and mixed game problem
• The pricing of options and corporate liabilities
• The pricing of the American option

Cited in

(9)

• A new form of the early exercise premium for American type derivatives
• New analytic approach to address put-call parity violation due to discrete dividends
• Regularity of the exercise boundary for American put options on assets with discrete dividends
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Optimal stopping and American options with discrete dividends and exogenous risk
• An integral equation for American put options on assets with general dividend processes
• Spiking the Volatility Punch
• Portfolios of American options under general preferences: results and counterexamples

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