An efficient binomial approach to the pricing of options on stocks with cash dividends
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References listed on IDEAS
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno, 2006.
"The exact value for European options on a stock paying a discrete dividend,"
701, University Library of Munich, Germany.
- 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.
- 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.
- Geske, Robert, 1981. "Comments on Whaley's note," Journal of Financial Economics, Elsevier, vol. 9(2), pages 213-215, June.
- Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 35-56, August.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
More about this item
KeywordsOptions on stocks; discrete dividends; binomial lattices;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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