Article
Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
Deeveya Thakoor and Muddun Bhuruth
The Journal of Derivatives Summer 2019, 26 (4) 9-34; DOI: https://doi.org/10.3905/jod.2019.26.4.009
Deeveya Thakoor
is a PhD student in the department of mathematics at the University of Mauritius in Reduit, Mauritius
Muddun Bhuruth
is a professor of computational mathematics in the department of mathematics at the University of Mauritius in Reduit, Mauritius
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In this issue
The Journal of Derivatives
Vol. 26, Issue 4
Summer 2019
Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
Deeveya Thakoor, Muddun Bhuruth
The Journal of Derivatives May 2019, 26 (4) 9-34; DOI: 10.3905/jod.2019.26.4.009
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- Article
- Abstract
- OPTION PRICING UNDER PIECEWISE GENERAL DIFFUSIONS
- NON-RECOMBINING TREES FOR PIECEWISE GENERAL DIFFUSIONS
- RECOMBINING SHIFTED TRINOMIAL LATTICE
- IMPROVEMENTS FOR NON-RECOMBINING AND RECOMBINING TREES
- RANGE-CURTAILING WITH DISCRETE DIVIDENDS
- OPTIMAL EXERCISE POLICY FOR AMERICAN OPTIONS
- LOGARITHMIC BINOMIAL COEFFICIENT APPROACH
- FEJÉR QUADRATURE FOR THE PIECEWISE CEV MODEL
- ACCURACY AND EFFICIENCY COMPARISONS
- THE PIECEWISE CEV MODEL
- CONCLUSION
- ACKNOWLEDGMENT
- ENDNOTES
- REFERENCES
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