The exact value for European options on a stock paying a discrete dividend
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Other versions of this item:
- Jo~ao Amaro de Matos & Rui Dil~ao & Bruno Ferreira, 2006. "The Exact Value for European Options on a Stock Paying a Discrete Dividend," Papers math/0609212, arXiv.org.
References listed on IDEAS
- Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-350, May.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- 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.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Alexander Buryak & Ivan Guo, 2014. "New analytic approach to address Put - Call parity violation due to discrete dividends," Papers 1407.7328, arXiv.org.
More about this item
KeywordsEuropean options; Black-Scholes economy;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-12 (All new papers)
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