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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
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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