Tests of Two Models for Valuing Call Options on Stocks with Dividends

  • Author(s): WILLIAM STERK
  • Published: Apr 30, 2012
  • Pages: 1229-1237
  • DOI: 10.1111/j.1540-6261.1982.tb03614.x


Roll has recently formulated an option pricing model which allows dividend payments on the underlying stock. This paper compares the performance of the exact Roll model with a modified, but inexact, Black‐Scholes model. The results indicate that the Roll model prices are significantly closer to actual market prices.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Members' Login


Members' Options

Site Footer

View Mobile Version