Discontinuities in the stock price at ex-dividend dates make it hard to derive mathematically
elegant solutions for European-style options with discrete dividends under the piecewise …

The authors introduce to the literature an intelligent lattice search algorithm to efficiently
locate the optimal exercise boundary for American options. Lattice models can be …

We consider the problem of evaluating options on a dividend-paying asset by means of a
trinomial latticebased model. We propose a suitable construction of the lattice that …

In the literature there appear various kinds of binomial trees for pricing options on stocks
under geometric Brownian motions (GBMs) with known cash dividends. The aim of this …

Options play an important role in the financial world and are actively traded with huge
trading volume. Most of the options traded on exchanges are American options. Spanning …

We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with
a view to accelerating computation time and improving accuracy of American Option …

We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the
Black-Scholes-Merton equation. The new equation is general and works for European …

Known discrete dollar dividends lead to non-recombining binomial trees (NR-BT) with an
explosion of nodes, and make the pricing of options much more complex. This article …

Lattice methods are often employed to price contingent claims with discrete dividends under
the lognormal diffusion, but they are inclined to suffer from large decreases in execution …

Known discrete dollar dividends lead to non-recombining binomial trees (NR-BT) with an
explosion of nodes, which are more difficult to implement and much less efficient. This paper …