An efficient method for option pricing with discrete dividend payment

DOI10.1016/J.CAMWA.2008.02.009MaRDI QIDQ1004745zbMATH OpenOpenAlexFDO

Authors C. Ballester, R. Company, L. Jódar

Publication date 12 March 2009

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2008.02.009

zbMATH Keywords

numerical solutionsemidiscretizationBlack-Scholes equationdiscrete dividend

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

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• Logarithmic Norms for Matrix Pencils
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Option pricing: A simplified approach
• The Mathematics of Financial Derivatives

Cited in

(13)

• American Options With Discrete Dividends Solved by Highly Accurate Discretizations
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
• Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment
• An accurate approximation formula for pricing European options with discrete dividend payments
• scientific article; zbMATH DE number 5631873 (Why is no real title available?)
• A robust numerical solution to a time-fractional Black-Scholes equation
• A numerical method for European option pricing with transaction costs nonlinear equation
• A novel model for pricing European option with discrete dividends
• Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
• Application of discrete dividends to American option pricing
• scientific article; zbMATH DE number 5308465 (Why is no real title available?)
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Computing option pricing models under transaction costs

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