A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model

zbMath1247.91188MaRDI QIDQ424681

Marlene Müller, Susanne Kruse

Publication date: 4 June 2012

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: http://math.usm.my/bulletin/html/vol35_2A_13.html

zbMATH Keywords

option pricingAmerican optionsBlack-Scholes modeldividendsdividend discount model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option pricing based on a regime switching dividend process ⋮ Option pricing under a Markov-modulated Merton jump-diffusion dividend

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