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Published November 1977 | public
Journal Article

An analytic valuation formula for unprotected American call options on stocks with known dividends

Roll, Richard

Abstract

Sometimes it pays to exercise an American-type call option prematurely, just prior to a cash emission by the underlying security. Such an option can be expressed as a combination of three European-type options whose valuation formulae are known.

Additional Information

© 1977 Published by Elsevier B.V. Many useful comments and suggestions by Charles Davidson, Robert Geske, David Mayers and Stephen Ross are gratefully acknowledged.

Additional details

Created:
August 19, 2023
Modified:
October 20, 2023