- The early exercise premium for the American put under discrete dividends
- Mathematical Finance
- Volume | Issue number
- 21 | 2
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We 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.
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