A Mathematical Model for American Call Option with Dividends and Variable Volatility

In this paper, a mathematical model for American call option pricing incorporating the seasonal effect inspite of leverage effect on volatility is developed. The effect of strike price, interest rate, dividends and maturities on option pricing and portfolio dynamics is discussed by solving the governing equation by numerically. American option price decreases as strike price and dividend increases while it increases with interest rate and maturity

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Year of publication:	2011
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Dividende \| Dividend \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Derivat \| Derivative \| Optionsgeschäft \| Option trading
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Int. J. of Appl. Math. and Mech., Vol. 7, No. 17, pp. 46-60, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 10, 2011 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C63 - Computational Techniques ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

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