Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

DOI10.1080/14697680902814217zbMATH Open1180.91285OpenAlexW2097105891MaRDI QIDQ3650964FDOQ3650964

Authors: Tian-Shyr Dai 

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814217

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zbMATH Keywords

option pricingdividendsstair tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cites Work

• The pricing of options and corporate liabilities
• Financial engineering and computation. Principles, mathematics, algorithms
• Option pricing: A simplified approach
• Randomization and the American put

Cited In (9)

• A shifted tree model for the efficient evaluation of options with fixed dividends
• Pricing barrier stock options with discrete dividends by approximating analytical formulae
• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• Pricing American barrier options with discrete dividends by binomial trees
• Evaluating corporate bonds with complicated liability structures and bond provisions
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
• On the construction and complexity of the bivariate lattice with stochastic interest rate models

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