Efficient Pricing of Derivatives on Assets with Discrete Dividends
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Publication:3424328
DOI10.1080/13504860600563077zbMath1142.91569OpenAlexW2102729137MaRDI QIDQ3424328
Johannes W. Nieuwenhuis, Michel H. Vellekoop
Publication date: 15 February 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://research.utwente.nl/en/publications/efficient-pricing-of-derivatives-on-assets-with-discrete-dividends(90a53b86-3787-4ce7-8c44-b48d471d5a8b).html
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Related Items (8)
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Fast quadrature methods for options with discrete dividends ⋮ Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ Pricing American barrier options with discrete dividends by binomial trees ⋮ Pricing barrier stock options with discrete dividends by approximating analytical formulae ⋮ Closed Formula for Options with Discrete Dividends and Its Derivatives ⋮ Smooth and bid-offer compliant volatility surfaces under general dividend streams
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing the American put option: A detailed convergence analysis for binomial models
- Error estimates for the binomial approximation of American put options
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing: A simplified approach
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