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An analytic valuation formula for unprotected American call options on stocks with known dividends

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References

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1976Option pricing473 cited

Cited by

1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
1979Anticipated information releases reflected in call option prices325 cited
1982Valuation of American call options on dividend-paying stocks319 cited
1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited
1992Market volatility prediction and the efficiency of the S & P 100 index option market297 cited
1988The Valuation of Sequential Exchange Opportunities269 cited

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1981On the valuation of American call options on stocks with known dividends267 cited

1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends237 cited

1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques218 cited

1980Tests of the Black-Scholes and Cox Call Option Valuation Models207 cited

1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1186 cited

2005A Practical Guide to Forecasting Financial Market Volatility171 cited

2003The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors149 cited

1979Put-Call Parity and Market Efficiency147 cited

1987Tests of an American Option Pricing Model on the Foreign Currency Options Market131 cited

2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives127 cited