Goettsche, O. and Vellekoop, M. (2011). The early exercise premium for the American put under discrete dividends Mathematical Finance, 21(2):335--354.
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Affiliated author
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Publication year2011
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JournalMathematical Finance
We derive an integral equation for the early exercise boundary of an American put option under Black-Scholes dynamics with discrete dividends at fixed times during the lifetime of the option. Our result is a generalization of the results obtained by Carr, Jarrow, and Myneni; Jacka; and Kim for the case without discrete dividends, and it requires a careful study of Snell envelopes for semimartingales with discontinuities.