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

DOI10.1080/17442508.2010.533179zbMath1229.91378MaRDI QIDQ3108380

Johannes W. Nieuwenhuis, Michel H. Vellekoop

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 option; early exercise premium; dividends

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

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

Related Items

Regularity of the American put option in the Black-Scholes model with general discrete dividends, A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders, PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

Cites Work

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