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Option pricing under joint dynamics of interest rates, dividends, and stock prices

โœ Scribed by Juho Kanniainen


Book ID
113834549
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
271 KB
Volume
39
Category
Article
ISSN
0167-6377

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The path-dependent property of American options leads to the complexity of its pricing. Based on the analysis of American options' characteristics and the influence of the stock dividend, the American call option fuzzy pricing method is discussed in this paper. Under the assumption that the price of