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On the valuation of American call options on stocks with known dividends

Robert E. Whaley

Journal of Financial Economics · 1981 · Volume 9 · Issue 2

DOI: 10.1016/0304-405X(81)90013-1

Abstract

Both the Roll and the Geske equations for the valuation of the American call option on a stock with known dividends are incorrectly specified. This note presents the corrected valuation formula, explains the misspecifications and provides a numerical example.

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