Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

DOI10.1080/14697680902814217zbMath1180.91285OpenAlexW2097105891MaRDI QIDQ3650964

Tian-Shyr Dai

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814217

zbMATH Keywords

option pricingdividendsstair tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Related Items (6)

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ Evaluating corporate bonds with complicated liability structures and bond provisions ⋮ On the construction and complexity of the bivariate lattice with stochastic interest rate models ⋮ Pricing barrier stock options with discrete dividends by approximating analytical formulae

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Randomization and the American Put
• Option pricing: A simplified approach

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