The DF Structure Models for Options Pricing On the Dividend- Paying and Capital-Splitting
AbstractBased on the DF structure models for option pricing (F. Dai, 2005), this paper discusses further the DF structure models on three cases, i.e., the underlying stock being dividend-paid, capital-split or dividend-paid and capital-split. These three cases are discussed separately, and are integrated to the general models for call or put. Finally, the examples are given to compare the options prices calculated by the DF formulas and Black-Scholes formulas, and they show, as a whole, that the DF formulas are not inferior to Black-Scholes formulas. DF formula is useful to traders in financial market because it is convenient to adjust along with the trading time.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0508012.
Length: 10 pages
Date of creation: 25 Aug 2005
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Note: Type of Document - pdf; pages: 10
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DF structure model; options pricing; dividend-paying; capital- splitting;
Other versions of this item:
- Feng Dai, 2007. "The DF Structure Models for Options Pricing on the Dividend-Paying and Capital-Splitting," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 17-30, May.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-09 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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