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Keywords: Approximation
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (3): 283–310.
Published: 31 August 2018
... dividends into stock prices without losing consistency, the process results in the lack of closed-form solutions for option prices. We aim to resolve this by providing analytical approximation formulas for American call option prices under this process. Our work differs from other studies using the same...
