Roll, Richard (1977) An analytic valuation formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 5 (2). pp. 251-258. ISSN 0304-405X. doi:10.1016/0304-405X(77)90021-6. https://resolver.caltech.edu/CaltechAUTHORS:20190430-084058956
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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.
| Item Type: | Article | ||||||
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| 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. | ||||||
| Issue or Number: | 2 | ||||||
| DOI: | 10.1016/0304-405X(77)90021-6 | ||||||
| Record Number: | CaltechAUTHORS:20190430-084058956 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190430-084058956 | ||||||
| Official Citation: | Richard Roll, An analytic valuation formula for unprotected American call options on stocks with known dividends, Journal of Financial Economics, Volume 5, Issue 2, 1977, Pages 251-258, ISSN 0304-405X, https://doi.org/10.1016/0304-405X(77)90021-6. (http://www.sciencedirect.com/science/article/pii/0304405X77900216) | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 95110 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Tony Diaz | ||||||
| Deposited On: | 30 Apr 2019 19:56 | ||||||
| Last Modified: | 16 Nov 2021 17:10 |
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