Optimal stopping and American options with discrete dividends and exogenous risk
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 35 (2004)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frank, Murray & Jagannathan, Ravi, 1998.
"Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes,"
Journal of Financial Economics,
Elsevier, vol. 47(2), pages 161-188, February.
- Murray Frank & Ravi Jagannathan, 1997. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Staff Report 229, Federal Reserve Bank of Minneapolis.
- Battauz, Anna, 2003. "Quadratic hedging for asset derivatives with discrete stochastic dividends," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 229-243, April.
- Geske, Robert, 1979. "A note on an analytical valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 7(4), pages 375-380, December.
- Whaley, Robert E., 1981. "On the valuation of American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 9(2), pages 207-211, June.
- Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
- Heath, David C & Jarrow, Robert A, 1988. "Ex-dividend Stock Price Behavior and Arbitrage Opportunities," The Journal of Business, University of Chicago Press, vol. 61(1), pages 95-108, January.
- Ohashi, Kazuhiko, 1991. "A note on the terminal date security prices in a continuous time trading model with dividends," Journal of Mathematical Economics, Elsevier, vol. 20(2), pages 219-223.
- David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, vol. 55(5), pages 2333-2356, October.
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