Suppose that the strike price of an American call option on a non-dividend-paying stock grows at rate

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Suppose that the strike price of an American call option on a non-dividend-paying stock grows at rate g. Show that if g is less than the risk-free rate, r, it is never optimal to exercise the call early.

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 22, 2024 05:01 AM

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Suppose that the strike price of an American call option on a non-dividend-paying stock grows at rate g. Show that if g is less than the risk-free rate, r, it is never optimal to exercise the call...
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Suppose that the strike price of an American call option on a non-dividend-paying stock grows at rate

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Options Futures And Other Derivatives

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