A shifted tree model for the efficient evaluation of options with fixed dividends

DOI10.1093/IMAMAN/DPW002zbMath1473.91021OpenAlexW2413576900MaRDI QIDQ5382738

Emilio Russo, Massimo Costabile, Ivar Massabò

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpw002

zbMATH Keywords

trinomial latticebarrier optionsfixed dividends

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders

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