On the valuation of American call options on stocks with known dividends
Опубликовано на портале: 11-10-2004
Journal of Financial Economics.
1981.
Vol. 9.
No. 2.
P. 207-211 .
Тематический раздел:
Both the Roll and the Geske equations for the valuation of the American call option
on a stock with known dividends are incorrectly specified. This note presents the
corrected valuation formula, explains the misspecifications and provides a numerical
example.
Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)
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текст статьи:http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45KNKMP-1C&_user=10&_handle=W-WA-A-A-D-MsSAYVW-UUA-AUCUDWZVYV-VABZYCYDW-D-U&_fmt=summary&_coverDate=06%2F30%2F1981&_rdoc=5&_orig=browse&_srch=%23toc%235938%231981%23999909997%23304631!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=c1e83af244f9b9cf591ca5656b5c1062
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