THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS

DOI10.1111/j.1467-9965.2010.00427.xzbMath1232.91727MaRDI 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

zbMATH Keywords

integral equation; free boundary problem; optimal stopping; Black-Scholes model; American option; discrete dividend

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

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