Published November 1977
| public
Journal Article
An analytic valuation formula for unprotected American call options on stocks with known dividends
- Creators
- Roll, Richard
Chicago
An error occurred while generating the citation.
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
- Eprint ID
- 95110
- DOI
- 10.1016/0304-405X(77)90021-6
- Resolver ID
- CaltechAUTHORS:20190430-084058956
- Created
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2019-04-30Created from EPrint's datestamp field
- Updated
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2021-11-16Created from EPrint's last_modified field