Journal of Financial Economics Vol. 9 No. 2 1981
On the valuation of American call options on stocks with known dividends
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.
- DOI
- 10.1016/0304-405x(81)90013-1
- Volume
- 9
- Issue
- 2
- Pages
- 207-211
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref