An efficient method for option pricing with discrete dividend payment

DOI10.1016/J.CAMWA.2008.02.009zbMATH Open1155.65369OpenAlexW2027286197MaRDI QIDQ1004745FDOQ1004745

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

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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)

Cites Work

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• Option pricing: A simplified approach
• The Mathematics of Financial Derivatives
• Logarithmic Norms for Matrix Pencils
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• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
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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
• Title not available (Why is that?)
• A robust numerical solution to a time-fractional Black-Scholes equation
• A novel model for pricing European option with discrete dividends
• A numerical method for European option pricing with transaction costs nonlinear equation
• Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
• Application of discrete dividends to American option pricing
• Title not available (Why is that?)
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Computing option pricing models under transaction costs

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