An integral equation for American put options on assets with general dividend processes
| Authors |
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| Publication date | 2011 |
| Journal | Stochastics: An International Journal of Probability and Stochastic Processes |
| Volume | Issue number | 83 | 4-6 |
| Pages (from-to) | 555-567 |
| Organisations |
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| Abstract | The difference between an American put option and its European counterpart has been characterized in terms of a simple integral expression which can be used to calculate the optimal exercise boundary in a recursive manner, if Black-Scholes dynamics are assumed for the underlying asset. In this paper, we extend this formula to the case where a more general stock and cumulative dividend process are included, and show how this changes the properties of the optimal exercise boundary. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1080/17442508.2010.533179
(Final published version)
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