About this document

Technical Note 4 by qq1812016515 is a document available to read on EtoBox.

This document outlines the Roll, Geske, and Whaley formula for valuing American call options on dividend-paying stocks, specifically detailing the calculation process involving various variables such as stock price, dividends, and volatility. It explains how to adjust the formula when multiple dividends are anticipated, emphasizing that early exercise is typically optimal only on the final ex-dividend date. The note also references the Black–Scholes–Merton option pricing model and provides a method for calc

Author

qq1812016515

Language

EN