Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40309
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dc.contributor.authorFrontczak, Roberten_US
dc.contributor.authorSchöbel, Raineren_US
dc.date.accessioned2009-05-29en_US
dc.date.accessioned2010-09-24T14:42:19Z-
dc.date.available2010-09-24T14:42:19Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:bsz:21-opus-39215en_US
dc.identifier.urihttp://hdl.handle.net/10419/40309-
dc.description.abstractWe extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modi ed Mellin transforms. We also show how to derive the pricing formula for perpetual American call options using the new framework. A recovery of a result due to Kim (1990) regarding the optimal exercise price at expiry is also presented. Finally, we apply Gauss-Laguerre quadrature for the purpose of an efficient and accurate numerical valuation.en_US
dc.language.isoengen_US
dc.publisher|aUniv., Wirtschaftswiss. Fak. |cTübingenen_US
dc.relation.ispartofseries|aTübinger Diskussionsbeitrag |x320en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordModified Mellin transformen_US
dc.subject.keywordAmerican call optionen_US
dc.subject.keywordIntegral representationen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwAnalysisen_US
dc.subject.stwTheorieen_US
dc.titleOn modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call optionsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn600763048en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuedps:320-

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