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

zbMATH Open1247.91188MaRDI QIDQ424681FDOQ424681

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

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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)

Cited In (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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