Tests of Two Models for Valuing Call Options on Stocks with Dividends
比较了精确的Roll模型与修正的Black-Scholes模型在股票股利看涨期权定价上的表现，发现Roll模型价格更接近实际市场价格。
ABSTRACT 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.