An analytic valuation formula for unprotected American call options on stocks with known dividends
Опубликовано на портале: 06-10-2004
Journal of Financial Economics.
1977.
Vol. 5.
No. 2.
P. 251-258 .
Тематический раздел:
Sometimes it pays to exercise an American-type call option prematurely, just prior
to a cash emission by the underlying security. Such an option can be expressed as
a combination of three European-type options whose valuation formulae are known.
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-45KNKK3-K&_user=10&_handle=W-WA-A-A-AW-MsSAYWA-UUW-AUCUDVCZEU-VABYYCCVB-AW-U&_fmt=summary&_coverDate=11%2F30%2F1977&_rdoc=9&_orig=browse&_srch=%23toc%235938%231977%23999949997%23304628!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=62700292bea9769e5ae824e355ec40b8
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Journal of Political Economy.
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