American Capped Call Options on Dividend-Paying Assets
نویسندگان
چکیده
Thi s a r t i c l e addres se s the p rob l em o f va lu ing Amer i can ca l l op t i ons w i th caps on d i v idendpaying assets . Since early exercise is al lowed, the valuat ion problem requires the determinat ion of opt imal exercise pol icies . Options with two t ypes o f caps a re ana ly zed cons tan t caps and caps with a constant growth rate. For constant caps, it is optimal to exercise at the first time at which the underlying asset’s price equals or exceeds the minimum of the cap and the opt imal exercise boundary for the corresponding uncapped option. For caps that grow at a constant rate, the optimal exercise strategy can be specif ied by three endogenous parameters .
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