An integral equation for American put options on assets with general dividend processes

DOI10.1080/17442508.2010.533179MaRDI QIDQ3108380zbMATH OpenOpenAlexFDO

Authors M. H. Vellekoop, Johannes W. Nieuwenhuis

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.533179

zbMATH Keywords

American optionearly exercise premiumdividends

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Local times, optimal stopping and semimartingales
• ON THE AMERICAN OPTION PROBLEM
• Optimal Stopping and the American Put
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Reflected BSDEs and mixed game problem
• Regularity of the exercise boundary for American put options on assets with discrete dividends

Cited in

(8)

• Portfolios of American options under general preferences: results and counterexamples
• A new integral equation formulation for American put options
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• American options on assets with dividends near expiry
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• Can outstanding dividend payments be estimated by American options?
• Asymptotic analysis of the American call option with dividends
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS

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