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

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. 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
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/0304-405X(77)90021-6DOIArticle
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
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:03 Oct 2019 21:10

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