Optimal stopping and American options with discrete dividends and exogenous risk

DOI10.1016/j.insmatheco.2004.03.005zbMath1079.91020OpenAlexW2082207337MaRDI QIDQ704408

Anna Battauz, Maurizio Pratelli

Publication date: 13 January 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.005

zbMATH Keywords

American optionsOptimal stoppingDiscrete dividendsNo arbitrage evaluationRestrictions on exercise dates

Mathematics Subject Classification ID

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Cites Work

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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET