A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model

MaRDI QIDQ424681zbMATH OpenFDO

Authors Susanne Kruse, Marlene Müller

Publication date 4 June 2012

Published in Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL http://math.usm.my/bulletin/html/vol35_2A_13.html

zbMATH Keywords

option pricingAmerican optionsBlack-Scholes modeldividendsdividend discount model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(3)

• Option pricing under a Markov-modulated Merton jump-diffusion dividend
• Can outstanding dividend payments be estimated by American options?
• Option pricing based on a regime switching dividend process

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