Efficient Pricing of Derivatives on Assets with Discrete Dividends

DOI10.1080/13504860600563077zbMATH Open1142.91569OpenAlexW2102729137MaRDI QIDQ3424328FDOQ3424328

Authors: M. H. Vellekoop, Johannes W. Nieuwenhuis 

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

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zbMATH Keywords

numerical methodsequity optionpricing dividends

Mathematics Subject Classification ID

Cites Work

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

Cited In (13)

• Pricing barrier stock options with discrete dividends by approximating analytical formulae
• Dividend derivatives
• Estimating discrete dividends by no-arbitrage
• Pricing American barrier options with discrete dividends by binomial trees
• An accurate approximation formula for pricing European options with discrete dividend payments
• PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• Fast quadrature methods for options with discrete dividends
• Closed formula for options with discrete dividends and its derivatives
• Dividends in the theory of derivative securities pricing
• Smooth and bid-offer compliant volatility surfaces under general dividend streams

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