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Brazilian listed options with discrete dividends and the fast Laplace transform

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  • Maikon Araujo

Abstract

The Brazilian stock exchange (B3) has long used a strike-only adjustment to account for dividends in its listed equity options. This adjustment still makes it necessary to account for discrete dividends when pricing either calls or puts. This work presents a numerical procedure, based on the fast Laplace transform and its inverse, a procedure that can efficiently compute the Brazilian listed options' premium and the Greeks delta, gamma, and theta with high accuracy.

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  • Maikon Araujo, 2022. "Brazilian listed options with discrete dividends and the fast Laplace transform," Papers 2212.01315, arXiv.org.
    • Handle: RePEc:arx:papers:2212.01315
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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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