Stochastic Expansion for the Pricing of Call Options with Discrete Dividends

DOI10.1080/1350486X.2011.620397zbMath1372.91107OpenAlexW3125375765MaRDI QIDQ5363200

Pierre Étoré, Emmanuel Gobet

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.620397

zbMATH Keywords

stochastic approximationanalytic formuladiscrete dividendequity option

Mathematics Subject Classification ID

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

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