Discrete dividends and the FTSE-100 index options valuation

DOI10.1080/14697688.2011.618457zbMath1402.91886OpenAlexW3121304168MaRDI QIDQ5247233

Nelson Areal, Artur Rodrigues

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.618457

zbMATH Keywords

Monte Carlo methodsAmerican optionscomputational financeoptions pricingderivative pricing modelsnumerical methods for option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Dividend forecast biases in index option valuation
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• On improving the least squares Monte Carlo option valuation method
• An analysis of a least squares regression method for American option pricing
• Option pricing and replication with transaction costs and dividends
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Randomization and the American Put
• Option pricing: A simplified approach
• Closed Formula for Options with Discrete Dividends and Its Derivatives

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