Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
From MaRDI portal
Publication:5363200
DOI10.1080/1350486X.2011.620397zbMath1372.91107MaRDI QIDQ5363200
Publication date: 5 October 2017
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2011.620397
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
New Approximations in Local Volatility Models, Weak approximation of averaged diffusion processes, Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal