An efficient method for option pricing with discrete dividend payment

DOI10.1016/j.camwa.2008.02.009zbMath1155.65369MaRDI QIDQ1004745

Rafael Company, C. Ballester, Lucas Jodar

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

semidiscretization; numerical solution; Black-Scholes equation; discrete dividend

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)