On the valuation of American call options on stocks with known dividends |
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Authors: | Robert E. Whaley |
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Affiliation: | Vanderbilt University, Nashville, TN 37203, USA |
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Abstract: | Both the Roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified. This note presents the corrected valuation formula, explains the misspecifications and provides a numerical example. |
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