Pricing barrier stock options with discrete dividends by approximating analytical formulae
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Publication:5245897
DOI10.1080/14697688.2013.853319zbMath1402.91769OpenAlexW1993381664MaRDI QIDQ5245897
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.853319
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing American barrier options with discrete dividends by binomial trees
- PDE methods for pricing barrier options
- Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
- Efficient Pricing of Derivatives on Assets with Discrete Dividends
- Credit Risk Modeling
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree