A novel model for pricing European option with discrete dividends

DOI10.12386/A20200164MaRDI QIDQ6624084FDOQ6624084

Authors: Xisheng Yu, Yu Wei Yao 

Publication date: 25 October 2024

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

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zbMATH Keywords

European optionpricing modeldiscrete dividend

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Randomization and the American put
• 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

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