Articles

Valuation of American Call Options

11th July 2018 Editor 0

The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have […]

Articles

American π: Piece of Cake?

13th November 2017 Editor 0

An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the context of the binomial model is a […]