Efficient Pricing of Derivatives on Assets with Discrete Dividends

DOI10.1080/13504860600563077MaRDI QIDQ3424328zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

equity optionnumerical methodspricing dividends

Mathematics Subject Classification ID

Recommendations

• Pricing American barrier options with discrete dividends by binomial trees
• Fast quadrature methods for options with discrete dividends
• Asymptotic approximations for Asian, European, and American options with discrete averaging or discrete dividend/coupon payments
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
• American Options With Discrete Dividends Solved by Highly Accurate Discretizations

Cites work

• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Error estimates for the binomial approximation of American put options
• Option pricing: A simplified approach
• Pricing the American put option: A detailed convergence analysis for binomial models
• The pricing of options and corporate liabilities
• Valuing American options by simulation: a simple least-squares approach

Cited in

(15)

• 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
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Dividend derivatives
• Estimating discrete dividends by no-arbitrage
• Application of discrete dividends to American option pricing
• An accurate approximation formula for pricing European options with discrete dividend payments
• Pricing barrier stock options with discrete dividends by approximating analytical formulae
• A shifted tree model for the efficient evaluation of options with fixed dividends
• Pricing of perpetual American options in a model with partial information
• Closed formula for options with discrete dividends and its derivatives
• Dividends in the theory of derivative securities pricing

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