This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price.

American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices.

Mark Joshi Downloads

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Using the URL or DOI link below will ensure access to this page indefinitely. Zhang University of Otago, Otago Business School, Department of Accountancy and Finance Tiecheng Li Tsinghua University.

American-Type Options: Stochastic Approximation Methods - Dmitrii S. Silvestrov - Google Livres

Abstract This paper studies the critical stock price of American options with continuous dividend yield. Zhang Contact Author University of Otago, Otago Business School, Department of Accountancy and Finance email Dunedin, New Zealand 64 3 Phone 64 3 Fax HOME PAGE: Tiecheng Li Tsinghua University email Beijing, China.

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