Consider an American call option when the stock price is $18, the exercise price is $20, the
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Consider an American call option when the stock price is $18, the exercise price is $20, the time to maturity is six months, the volatility is 30% per annum, and the risk-free interest rate is 10% per annum. Two equal dividends are expected during the life of the option with ex-dividend dates at the end of two months and five months. Assume the dividends are 40 cents. Use Black's approximation and the DerivaGem software to value the option. How high can the dividends be without the American option being worth more than the corresponding European option?
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Hemanth K P
My secondary school was from a reputed school HFHS Padathukadavu, Calicut, with distinction. And higher secondary from well known institution GVHSS Pathirippala Palakkad, With distinction. My Under graduation and post Graduation From very famous university, University of Calicut with first class. After my post graduation in mathematics, I joined as a research scholar in mathematics under world famous professor and Scientist Professor Dr. A M Mathai. About 3 years I continued my research in the field Algebra. After that am started my career as an assistant Professor. I have more than 4 years of teaching experience in graduate and post graduate level.
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