Efficient Pricing of Derivatives on Assets with Discrete Dividends

DOI10.1080/13504860600563077zbMath1142.91569MaRDI QIDQ3424328

Johannes W. Nieuwenhuis, Michel H. Vellekoop

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/efficient-pricing-of-derivatives-on-assets-with-discrete-dividends(90a53b86-3787-4ce7-8c44-b48d471d5a8b).html

zbMATH Keywords

numerical methods; equity option; pricing dividends

Mathematics Subject Classification ID

Related Items

Pricing barrier stock options with discrete dividends by approximating analytical formulae, PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION, Closed Formula for Options with Discrete Dividends and Its Derivatives, Regularity of the American put option in the Black-Scholes model with general discrete dividends, Pricing American barrier options with discrete dividends by binomial trees, Fast quadrature methods for options with discrete dividends, A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders, Smooth and bid-offer compliant volatility surfaces under general dividend streams

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach