A novel model for pricing European option with discrete dividends

DOI10.12386/A20200164MaRDI QIDQ6624084zbMATH OpenFDO

Authors Xisheng Yu, Yu Wei Yao

Publication date 25 October 2024

Published in Acta Mathematica Sinica. Chinese Series (Search for Journal in Brave)

zbMATH Keywords

European optionpricing modeldiscrete dividend

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• Closed formula for options with discrete dividends and its derivatives
• New analytic approach to address put-call parity violation due to discrete dividends
• On the convergence of two types of estimators of quadratic variation
• Randomization and the American put

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