# Volatility and Dividend Risk in Perpetual American Options

@article{Montero2006VolatilityAD, title={Volatility and Dividend Risk in Perpetual American Options}, author={Miquel Montero}, journal={Journal of Statistical Mechanics: Theory and Experiment}, year={2006}, volume={2007}, pages={04002} }

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and dividend policy-- of the underlaying stock can change at a random instant of time, but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because some of the most relevant facts that may potentially…

## 3 Citations

Volatility and Dividend Risk in Perpetual American Options

- Economics
- 2007

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some…

Variational inequality for perpetual American option price and convergence to the solution of the difference equation

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- 2019

A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational…

Cross-correlation of long-range correlated series

- Physics
- 2008

The method is illustrated on (i) financial series, to show the leverage effect; (ii) genomic sequences, to estimate the correlations between structural parameters along the chromosomes.

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