Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/40309 
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dc.contributor.authorFrontczak, Roberten
dc.contributor.authorSchöbel, Raineren
dc.date.accessioned2009-05-29-
dc.date.accessioned2010-09-24T14:42:19Z-
dc.date.available2010-09-24T14:42:19Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:bsz:21-opus-39215en
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
dc.language.isoengen
dc.publisher|aEberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät |cTübingenen
dc.relation.ispartofseries|aTübinger Diskussionsbeiträge |x320en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordModified Mellin transformen
dc.subject.keywordAmerican call optionen
dc.subject.keywordIntegral representationen
dc.subject.stwOptionspreistheorieen
dc.subject.stwAnalysisen
dc.subject.stwTheorieen
dc.titleOn modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options-
dc.typeWorking Paperen
dc.identifier.ppn600763048en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuedps:320en

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