The early exercise premium for the American put under discrete dividends
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| Publication date | 2011 |
| Journal | Mathematical Finance |
| Volume | Issue number | 21 | 2 |
| Pages (from-to) | 335-354 |
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| Abstract |
We derive an integral equation for the early exercise boundary of an American put option under Black-Scholes dynamics with discrete dividends at fixed times during the lifetime of the option. Our result is a generalization of the results obtained by Carr, Jarrow, and Myneni; Jacka; and Kim for the case without discrete dividends, and it requires a careful study of Snell envelopes for semimartingales with discontinuities. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1111/j.1467-9965.2010.00427.x |
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