State Equidistant and Time Non-Equidistant Valuation of American ...
It can be shown that for American call options written on dividend paying stocks, it may be optimal to exercise the option right before a dividend is paid out.
Closed formula for options with discrete dividends and its derivativesThe value of the option at the moment tD is changed because the underlying value has decreased by the size of the dividend. a summary on pricing american call options under the assumption of ...The closer the dividend payment the more the randomness of the dividend payment reduces. no matter whether the early dividends are known or unknown. The case ... Optimal stopping and American options with discrete dividends and ...Abstract. In this paper we analyze some problems arising in the evaluation of American options when the underlying security pays discrete dividends.
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