| Authors |
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| Publication date |
2011
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| Journal |
Stochastics: An International Journal of Probability and Stochastic Processes
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| Volume | Issue number |
83 | 4-6
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| Pages (from-to) |
555-567
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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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.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1080/17442508.2010.533179
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