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

DOI10.1080/17442508.2010.533179zbMATH Open1229.91378OpenAlexW2055220199MaRDI QIDQ3108380FDOQ3108380

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

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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)

Cites Work

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• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Reflected BSDEs and mixed game problem
• Title not available (Why is that?)
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Regularity of the exercise boundary for American put options on assets with discrete dividends
• ON THE AMERICAN OPTION PROBLEM
• Local times, optimal stopping and semimartingales

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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