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cond-mat.other2004
Universal bad news principle and pricing of options on dividend-paying assets
Svetlana Boyarchenko, Sergei Levendorskii
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly gen…
cond-mat.other2004★ 1 cited
Practical guide to real options in discrete time
Svetlana Boyarchenko, Sergei Levendorskii
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a g…