The bino-trinomial tree: A simple model for efficient and accurate option pricing
TS Dai, YD Lyuu - The Journal of Derivatives, 2010 - pm-research.com
A model with a closed-form solution is the Holy Grail of derivatives valuation, because as
computers have become increasingly powerful, exact answers to even very complicated …
computers have become increasingly powerful, exact answers to even very complicated …
A term structure model for dividends and interest rates
D Filipović, S Willems - Mathematical Finance, 2020 - Wiley Online Library
Over the last decade, dividends have become a standalone asset class instead of a mere
side product of an equity investment. We introduce a framework based on polynomial jump …
side product of an equity investment. We introduce a framework based on polynomial jump …
Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
TS Dai - Quantitative Finance, 2009 - Taylor & Francis
Pricing options on a stock that pays discrete dividends has not been satisfactorily settled
because of the conflicting demands of computational tractability and realistic modelling of …
because of the conflicting demands of computational tractability and realistic modelling of …
Dividend derivatives
RS Tunaru - Quantitative Finance, 2018 - Taylor & Francis
Dividend derivatives are not simply a by-product of equity derivatives. They constitute a
distinct growing market and an entire suite of dividend derivatives are offered to investors. In …
distinct growing market and an entire suite of dividend derivatives are offered to investors. In …
Estimating discrete dividends by no-arbitrage
S Desmettre, S Grün, FT Seifried - Quantitative Finance, 2017 - Taylor & Francis
We develop and showcase a simple no-arbitrage methodology for the valuation of discrete
dividend payments, based exclusively on market prices of options via the put-call parity. Our …
dividend payments, based exclusively on market prices of options via the put-call parity. Our …
Accurate approximation formulas for stock options with discrete dividends
TS Dai, YD Lyuu - Applied Economics Letters, 2009 - Taylor & Francis
Pricing options on a stock that pays discrete dividends has not been satisfactorily settled in
the literature. Frishling shows that there are three different models to model stock price with …
the literature. Frishling shows that there are three different models to model stock price with …
Black‐Scholes‐Merton revisited under stochastic dividend yields
A Lioui - Journal of Futures Markets: Futures, Options, and …, 2006 - Wiley Online Library
European options are priced in a framework à la Black‐Scholes‐Merton, which is extended
to incorporate stochastic dividend yield under a stochastic mean–reverting market price of …
to incorporate stochastic dividend yield under a stochastic mean–reverting market price of …
A Markov-modulated model for stocks paying discrete dividends
E Sakkas, H Le - Insurance: Mathematics and Economics, 2009 - Elsevier
We extend the model in [Korn, R., Rogers, LCG, 2005. Stock paying discrete dividends:
modelling and option pricing. Journal of Derivatives 13, 44–49] for (discrete) dividend …
modelling and option pricing. Journal of Derivatives 13, 44–49] for (discrete) dividend …
Stochastic dividend yields and derivatives pricing in complete markets
A Lioui - Review of Derivatives Research, 2005 - Springer
When an underlying yields a stochastic dividend yield, derivatives with linear payoff at their
maturities that are written on this underlying have the following properties:(i) they have a …
maturities that are written on this underlying have the following properties:(i) they have a …
[BOOK][B] The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems
A Bouwer - 2008 - search.proquest.com
The Du Fort and Frankel finite difference scheme applied to and adapted for a class of
finance problems Page 1 The Du Fort and Frankel finite difference scheme applied to and …
finance problems Page 1 The Du Fort and Frankel finite difference scheme applied to and …