Optimal stopping and American options with discrete dividends and exogenous risk

DOI10.1016/J.INSMATHECO.2004.03.005zbMATH Open1079.91020OpenAlexW2082207337MaRDI QIDQ704408FDOQ704408

Authors: Anna Battauz, M. Pratelli 

Publication date: 13 January 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.005

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zbMATH Keywords

American optionsOptimal stoppingDiscrete dividendsNo arbitrage evaluationRestrictions on exercise dates

Mathematics Subject Classification ID

Cites Work

• Variational inequalities and the pricing of American options
• Title not available (Why is that?)
• The pricing of the American option
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• On the approximation of optimal stopping problems with application to financial mathematics
• A note on the terminal date security prices in a continuous time trading model with dividends
• Quadratic hedging for asset derivatives with discrete stochastic dividends.
• DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET

Cited In (3)

• A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS

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