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On Valuing American Call Options with the Black-Scholes European Formula

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  • Geske, Robert
  • Roll, Richard

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  • Geske, Robert & Roll, Richard, 1984. "On Valuing American Call Options with the Black-Scholes European Formula," Journal of Finance, American Finance Association, vol. 39(2), pages 443-455, June.
    • Handle: RePEc:bla:jfinan:v:39:y:1984:i:2:p:443-55
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    Cited by:

    1. David R. Peterson, 1986. "An Empirical Test Of An Ex-Ante Model Of The Determination Of Stock Return Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 203-214, September.
    2. Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.
    3. Feng Dai, 2007. "The DF Structure Models for Options Pricing on the Dividend-Paying and Capital-Splitting," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 17-30, May.
    4. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    5. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January.
    6. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
    7. Yi‐Wei Chuang & Wei‐Che Tsai & Pei‐Shih Weng & Chi Yin, 2021. "Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 325-348, March.
    8. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
    9. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
    10. J. Austin Murphy, 1990. "A Modification and Re-Examination of the Bachelier Option Pricing Model," The American Economist, Sage Publications, vol. 34(2), pages 34-41, October.
    11. Raymond King, 1986. "Convertible Bond Valuation: An Empirical Test," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 53-69, March.
    12. Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
    13. Feng Dai & Feng Han, 2004. "Optimal Choice Models for Executing Time to American Options," Finance 0412016, University Library of Munich, Germany.
    14. Engstrom, Malin, 2002. "Do Swedes smile? On implied volatility functions," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 285-304.
    15. Siddiqi, Hammad, 2009. "Is the lure of choice reflected in market prices? Experimental evidence based on the 4-door Monty Hall problem," Journal of Economic Psychology, Elsevier, vol. 30(2), pages 203-215, April.
    16. Feng Dai & Yajun Sun & Songtao Wu, 2008. "The Structure Models for Futures Options Pricing and Related Researches," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 61-76, May.
    17. Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
    18. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
    19. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016. "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 907-935, May.
    20. DAI & Feng QIN & Zifu, 2005. "DF Structure Models for Options Pricing," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 61-77, November.
    21. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
    22. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
    23. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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