ANALYTIC VALUATION FORMULA FOR UNPROTECTED AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS

被引：169

|

作者：

ROLL, R

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1977年 / 5卷 / 02期

关键词：

D O I：

10.1016/0304-405X(77)90021-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：251 / 258

页数：8

相关论文

共 20 条

[1] A NOTE ON AN ANALYTICAL VALUATION FORMULA FOR UNPROTECTED AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS
GESKE, R
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (04) : 375 - 380
[2] ON THE VALUATION OF AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS
WHALEY, RE
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (02) : 207 - 211
[3] ON THE VALUATION OF AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS - COMMENTS
GESKE, R
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (02) : 213 - 215
[4] AN ANALYTIC APPROXIMATION FOR THE AMERICAN PUT PRICE FOR OPTIONS ON STOCKS WITH DIVIDENDS
BLOMEYER, EC
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (02) : 229 - 233
[5] Fuzzy Pricing of American Options on Stocks with Known Dividends and Its Algorithm
Zhang, Wei-Guo
Shi, Qing-Sheng
Xiao, Wei-Lin
[J]. INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS, 2011, 26 (02) : 169 - 185
[6] VALUATION OF AMERICAN CALL OPTIONS ON DIVIDEND-PAYING STOCKS - EMPIRICAL TESTS
WHALEY, RE
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (01) : 29 - 58
[7] THE ANALYTIC VALUATION OF AMERICAN OPTIONS
KIM, IJ
[J]. REVIEW OF FINANCIAL STUDIES, 1990, 3 (04): : 547 - 572
[8] TESTS OF 2 MODELS FOR VALUING CALL OPTIONS ON STOCKS WITH DIVIDENDS
STERK, W
[J]. JOURNAL OF FINANCE, 1982, 37 (05): : 1229 - 1237
[9] A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends
Guo, Shuxin
Liu, Qiang
[J]. JOURNAL OF DERIVATIVES, 2019, 26 (04): : 54 - 70
[10] A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options
Chang, Lung-Fu
Guo, Jia-Hau
Hung, Mao-Wei
[J]. JOURNAL OF FUTURES MARKETS, 2016, 36 (09) : 887 - 901