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Query: faculty: "FEB" and publication year: "2011"

AuthorsO.E. Goettsche, M.H. Vellekoop
TitleThe early exercise premium for the American put under discrete dividends
JournalMathematical Finance
Volume21
Year2011
Issue2
Pages335-354
ISSN09601627
FacultyFaculty of Economics and Business
Institute/dept.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
AbstractWe derive an integral equation for the early exercise boundary of an American put option under Black–Scholes dynamics with discrete dividends at fixed times during the lifetime of the option. Our result is a generalization of the results obtained by Carr, Jarrow, and Myneni; Jacka; and Kim for the case without discrete dividends, and it requires a careful study of Snell envelopes for semimartingales with discontinuities.
Document typeArticle
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