TY - RPRT
A1 - Kruse, S.
A1 - Müller, M.
T1 - Pricing American call options under the assumption of stochastic dividends – An application of the Korn-Rogers model
N2 - In nancial mathematics stock prices are usually modelled directly as a result of supply and demand and under the assumption that dividends are paid continuously. In contrast economic theory gives us the dividend discount model assuming that the stock price equals the present value of its future dividends. These two models need not to contradict each other - in their paper Korn and Rogers (2005) introduce a general dividend model preserving the stock price to follow a stochastic process and to be equal to the sum of all its discounted dividends. In this paper we specify the model of Korn and Rogers in a Black-Scholes framework in order to derive a closed-form solution for the pricing of American Call options under the assumption of a known next dividend followed by several stochastic dividend payments during the option's time to maturity.
T3 - Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) - 158
KW - option pricing
KW - American options
KW - dividends
KW - dividend discount model
Y1 - 2009
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/2085
UR - https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-15991
ER -