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• W2111690913 abstract "We provide a comprehensive treatment of option pricing with particular emphasis on the valuation of American options on dividend-paying essets. We begin by reviewing valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic. Then this anlysis is extended to the valuation of American contingent claims. In particular, the early exercise premium and the delayed exercise premium representations of the American option price are presented. These results are specialized in the case of the standard market model, i.e., when the underlying asset price follows a geometric Brownian motion process and the interest rate is constant. American capped options with constant and growing caps are then analyzed. Valuation formulas are first provided for capped options on dividend-paying assets in the context of the standard market model. Previously unpublished results are then presented for capped options on nodividend-paying assets when the underlying asset price follows an Ito process with stochastic volatility and the cap's growth rate is an adapted stochastic process. Nous presentons un traitement comprehensif de l'evaluation des options americaines sur des actifs qui payent des dividendes. Nous passons tout d'abord en revue les principes d'evaluation de titres contingents europeens dans le cadre d'un marche financier dans lequel le prix des actifs sous-jacents suit des processus d'Ito et le taux d'interet est stochastique. L'analyse est ensuite generalisee a l'evaluation des titres contingents americains. Nous presentons, en particulier, les representations de prime d'exercice premature et de prime d'exercice delaye, du prix de l'option americaine. Ces resultats sont specialises au cas du modele de marche standard, c'est-a-dire lorsque le prix de l'actif sous-jacent suit un mouvement Brownien geometrique et le taux d'interet est constant. Les options americaines plafonnees, avec plafond constant ou croissant, sont ensuite analysees. Des formules d'evaluation sont tout d'abord presentees pour les options plafonnees sur des actifs a dividendes dans le contexte du modele standard. Des resultats nouveaux sont ensuite presentes pour les options plafonnees sur des actifs sans dividende lorsque le prix du sous-jacent suit un processus d'Ito a volatilite stochastique et le taux de croissance du plafond est un processus stochastique adapte." @default.
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• W2111690913 date "1996-03-01" @default.
• W2111690913 modified "2023-09-27" @default.
• W2111690913 title "American Options on Dividend-Paying Assets" @default.
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