Publication
Title
A closed-form formula for unprotected American call options on assets paying discrete known dividends
Author
Abstract
In general, American options cannot be valued by closed-form formulas. There is however an exception within the setting of dividendpaying assets. It is known that American call options will be exercised early, only at a time just prior to an ex-dividend date. In extending the Roll-Geske-Whaley model and in using the theory of the n-fold compound options, such closed-form formulas are derived in case the asset pays n dividends with n > 2. Moreover a sensitivity analysis for American call options will be performed. Finally some numerical examples are included.
Language
English
Source (series)
Research paper / UA, Faculteit TEW ; 2004:015
Publication
Antwerpen : UA, 2004
Volume/pages
11 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 08.10.2008
Last edited 23.12.2015
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