An efficient method for option pricing with discrete dividend payment

DOI10.1016/j.camwa.2008.02.009zbMath1155.65369OpenAlexW2027286197MaRDI QIDQ1004745

C. Ballester, Lucas Jodar, Rafael Company

Publication date: 12 March 2009

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2008.02.009

zbMATH Keywords

semidiscretizationnumerical solutionBlack-Scholes equationdiscrete dividend

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A robust numerical solution to a time-fractional Black-Scholes equation ⋮ A numerical method for European option pricing with transaction costs nonlinear equation ⋮ Computing option pricing models under transaction costs ⋮ Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics

Cites Work

• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Logarithmic Norms for Matrix Pencils
• The Mathematics of Financial Derivatives
• Option pricing: A simplified approach
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