scientific article; zbMATH DE number 2226958

MaRDI QIDQ5705334zbMATH OpenFDO

Authors Ping Chen, Zhongxing Ye, Xiao-Ping Yang

Publication date 8 November 2005

zbMATH Keywords

American optiondividend-paying and placing rateoptimal exercising time

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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(12)

• Estimate for the discrete time hedging error of the American option on a dividend-paying stock
• A Black-Scholes formula for option pricing with dividends
• Dividend derivatives
• A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model
• Comparison study on value and exercise time of options with same intrinsic value
• scientific article; zbMATH DE number 1867102 (Why is no real title available?)
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• The non-optimality of the over-the-counter options dividend protection
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• OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS
• Dividends in the theory of derivative securities pricing
• On a Heath-Jarrow-Morton approach for stock options

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