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What is Path-Dependent Dividends in Options about?

The document presents research on pricing American put options when the underlying stock pays path-dependent dividends. It begins by formulating the problem and reviewing the standard Black-Scholes model. It then presents the main theorem which characterizes the early exercise premium for American puts with dividends. Numerical results are shown for three dividend models: a knock out dividend model, a proportional cash dividend model, and a fixed cash dividend model. The document concludes by discussing the

Author

dddd

Language

EN