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On the valuation of American call options on stocks with known dividends

Citations

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Cited by:

  1. Grace Phang & Rob Brown, 2011. "Rational early exercise of call options: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(3), pages 732-744, September.
  2. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
  3. David R. Peterson, 1986. "An Empirical Test Of An Ex-Ante Model Of The Determination Of Stock Return Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 203-214, September.
  4. Broughton, John B. & Chance, Don M. & Smith, David M., 1995. "The impact of equity option expirations on the prices of non-expiring options," Review of Financial Economics, Elsevier, vol. 4(2), pages 109-123.
  5. Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
  6. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  7. Feng Dai, 2007. "The DF Structure Models for Options Pricing on the Dividend-Paying and Capital-Splitting," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 17-30, May.
  8. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  9. Hsuan-Ku Liu, 2013. "The pricing formula for cancellable European options," Papers 1304.5962, arXiv.org, revised Sep 2014.
  10. Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
  11. Gukhal, C.R.Chandrasekhar Reddy, 2004. "The compound option approach to American options on jump-diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2055-2074, September.
  12. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
  13. repec:dau:papers:123456789/9845 is not listed on IDEAS
  14. Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".
  15. L. Sereno, 2006. "The Valuation of New Ventures," Working Papers 554, Dipartimento Scienze Economiche, Universita' di Bologna.
  16. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
  17. J. Austin Murphy, 1990. "A Modification and Re-Examination of the Bachelier Option Pricing Model," The American Economist, Sage Publications, vol. 34(2), pages 34-41, October.
  18. Liu, Yu-hong & Jiang, I-Ming & Hsu, Wei-tze, 2018. "Compound option pricing under a double exponential Jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 30-53.
  19. Raymond King, 1986. "Convertible Bond Valuation: An Empirical Test," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 53-69, March.
  20. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2009. "Accurate approximation formulas for stock options with discrete dividends," Applied Economics Letters, Taylor & Francis Journals, vol. 16(16), pages 1657-1663.
  21. M. H. Vellekoop & J. W. Nieuwenhuis, 2006. "Efficient Pricing of Derivatives on Assets with Discrete Dividends," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 265-284.
  22. Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Other publications TiSEM ac252bad-d1c0-45d6-832a-f, Tilburg University, School of Economics and Management.
  23. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
  24. Chung, Y. Peter & Johnson, Herb, 2011. "Extendible options: The general case," Finance Research Letters, Elsevier, vol. 8(1), pages 15-20, March.
  25. Linda S. Klein & David R. Peterson, 1988. "Investor Expectations Of Volatility Increases Around Large Stock Splits As Implied In Call Option Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 71-80, March.
  26. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  27. Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
  28. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
  29. Yu-Fu Chen & Gylfi Zoega, 2007. "Aging and Job Security," Dundee Discussion Papers in Economics 206, Economic Studies, University of Dundee.
  30. DAI & Feng QIN & Zifu, 2005. "DF Structure Models for Options Pricing," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 61-77, November.
  31. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  32. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 241-256.
  33. Robert L. Brown & Dominique Achour, 1984. "The Pricing of Land Options," Urban Studies, Urban Studies Journal Limited, vol. 21(3), pages 317-323, August.
  34. Al Bhimani & Mthuli Ncube & Pascal Frantz, 2006. "Entering and exiting collaborative purchasing relationships," Working Papers 009, Economic Research Southern Africa.
  35. Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  36. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
  37. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, September.
  38. José Eduardo Correia & João Duque, 2008. "Dilution and Dividend Effects on the Portuguese Equity Warrants Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 161-192.
  39. Ma, Jingtang & Fan, Jiacheng, 2016. "Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 128-147.
  40. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
  41. Carpenter, Jennifer N. & Stanton, Richard & Wallace, Nancy, 2010. "Optimal exercise of executive stock options and implications for firm cost," Journal of Financial Economics, Elsevier, vol. 98(2), pages 315-337, November.
  42. Chen, Yu-Fu & Zoega, Gylfi, 2010. "An essay on the generational effect of employment protection," Mathematical Social Sciences, Elsevier, vol. 59(3), pages 349-359, May.
  43. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
  44. Dan W. French & Edwin D. Maberly, 1992. "Early Exercise Of American Index Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 127-137, June.
  45. Battauz, A. & Pratelli, M., 2004. "Optimal stopping and American options with discrete dividends and exogenous risk," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 255-265, October.
  46. R. L. Brown & T. J. Shevlin, 1983. "Stock Market Efficiency and Price Predictions Implicit in Option Trading," Australian Journal of Management, Australian School of Business, vol. 8(2), pages 71-93, December.
  47. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "On the existence of sure profits via flash strategies," Papers 1708.03099, arXiv.org, revised Jul 2019.
  48. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  49. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  50. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
  51. Martin Wallmeier, 2024. "Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 854-875, May.
  52. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.
  53. Feng Dai & Feng Han, 2004. "Optimal Choice Models for Executing Time to American Options," Finance 0412016, University Library of Munich, Germany.
  54. repec:dun:dpaper:96 is not listed on IDEAS
  55. German Bernhart & Jan-Frederik Mai, 2016. "On the impact of a scrip dividend on an equity forward," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-16, December.
  56. Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E., 2012. "Stock option contract adjustments: The case of special dividends," Journal of Financial Markets, Elsevier, vol. 15(2), pages 233-257.
  57. Karen Alpert, 2010. "Taxation and the Early Exercise of Call Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 715-736.
  58. L. Sereno, 2006. "Valuing R & D Investments With A Jump-Diffusion Process," Working Papers 569, Dipartimento Scienze Economiche, Universita' di Bologna.
  59. Paolo Angelis & Roberto Marchis & Antonio L. Martire & Emilio Russo, 2022. "A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 415-446, June.
  60. Yu-Fu Chen & Gylfi Zoega, 1999. "Firing The Young Or The Old: A Non-perpetual Real Options Analysis," Dundee Discussion Papers in Economics 096, Economic Studies, University of Dundee.
  61. Karen Alpert, 2010. "Taxation and the Early Exercise of Call Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 715-736, June.
  62. Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.
  63. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011, January-A.
  64. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
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