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Pricing American barrier options with discrete dividends by binomial trees

Author

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  • Marcellino Gaudenzi
  • Antonino Zanette

Abstract

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Suggested Citation

  • Marcellino Gaudenzi & Antonino Zanette, 2009. "Pricing American barrier options with discrete dividends by binomial trees," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 129-148, November.
    • Handle: RePEc:spr:decfin:v:32:y:2009:i:2:p:129-148
    DOI: 10.1007/s10203-009-0089-4
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    References listed on IDEAS

    as
    1. Marcellino Gaudenzi & Maria Antonietta Lepellere, 2006. "Pricing And Hedging American Barrier Options By A Modified Binomial Method," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 533-553.
    2. M. H. Vellekoop & J. W. Nieuwenhuis, 2006. "Efficient Pricing of Derivatives on Assets with Discrete Dividends," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 265-284.
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    Citations

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    Cited by:

    1. Lihua Zhang & Weiguo Zhang & Weijun Xu & Xiang Shi, 2014. "A Modified Least-Squares Simulation Approach to Value American Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 489-506, December.
    2. Tian-Shyr Dai & Chun-Yuan Chiu, 2013. "Pricing barrier stock options with discrete dividends by approximating analytical formulae," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1367-1382, October.
    3. Marcellino Gaudenzi & Antonino Zanette, 2017. "Fast binomial procedures for pricing Parisian/ParAsian options," Computational Management Science, Springer, vol. 14(3), pages 313-331, July.

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    More about this item

    Keywords

    American options; Barrier options; Tree methods; Discrete dividends; Singular points; G13; C63;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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