Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics (Q2306987)
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| Language | Label | Description | Also known as |
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| English | Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics |
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Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics (English)
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27 March 2020
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The authors find closed-form solutions for the valuation of European options when the underlying asset is modeled by a jump-diffusion process and pays discrete or continuous dividends. The formula can be used with any specification on the distribution of the jump. Moreover, the formula is written in terms of the Black-Scholes formula with no jumps or dividends, and thus indicates the effect of the jumps and the effect of the inclusion of discrete (or continuous) dividends on the price of the option.
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European options
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discrete dividends
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jump-diffusion dynamics
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Mellin transform
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Black-Scholes kernel
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