Closed Formula for Options with Discrete Dividends and Its Derivatives

DOI10.1080/13504860903075498zbMath1186.91220OpenAlexW2110869250MaRDI QIDQ5851726

Carlos Veiga, Uwe Wystup

Publication date: 25 January 2010

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

Full work available at URL: https://www.econstor.eu/bitstream/10419/40175/1/585827540.pdf

zbMATH Keywords

hedgingclosed formulaanalytic formuladiscrete dividendequity option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (4)

Fast quadrature methods for options with discrete dividends ⋮ Unifying exotic option closed formulas ⋮ Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics ⋮ Discrete dividends and the FTSE-100 index options valuation

Cites Work

• Unnamed Item
• Stochastic calculus for finance. II: Continuous-time models.
• Efficient Pricing of Derivatives on Assets with Discrete Dividends

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