Fast quadrature methods for options with discrete dividends

DOI10.1016/J.CAM.2017.08.006zbMath1415.91320OpenAlexW2747464326MaRDI QIDQ1675932

Muddun Bhuruth, Deeveya Thakoor

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.08.006

zbMATH Keywords

option pricingFejér quadraturediscrete dividends

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Approximate quadratures (41A55) Numerical integration (65D30)

Cites Work

• Numerical method of pricing discretely monitored barrier option
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Mathematical models of financial derivatives
• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• An explicit finite difference approach to the pricing of barrier options
• An accurate approximation formula for pricing European options with discrete dividend payments
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Closed Formula for Options with Discrete Dividends and Its Derivatives

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