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q-fin.PR2021
Pricing American options under negative rates
Jherek Healy
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of t…
q-fin.PR2021
The Pricing of Vanilla Options with Cash Dividends as a Classic Vanilla Basket Option Problem
Jherek Healy
In the standard Black-Scholes-Merton framework, dividends are represented as a continuous dividend yield and the pricing of Vanilla options on a stock is achieved through the well-…