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Rational Early Exercise Of Equity And Index Options: The Impact Of Market Frictions

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  • Paul Dawson

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  • Paul Dawson, 1996. "Rational Early Exercise Of Equity And Index Options: The Impact Of Market Frictions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(7), pages 931-951, October.
    • Handle: RePEc:bla:jbfnac:v:23:y:1996:i:7:p:931-951
    DOI: 10.1111/j.1468-5957.1996.tb01033.x
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. 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.
    3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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