Pricing barrier stock options with discrete dividends by approximating analytical formulae
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2013.853319
Reference31 articles.
1. Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
2. Growth Opportunities and the Choice of Leverage, Debt Maturity, and Covenants
3. Fact and Fantasy in the Use of Options
4. The Pricing of Options and Corporate Liabilities
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1. An accurate approximation to barrier option prices with discrete fixed-amount dividends: Nonlinear dynamics;Expert Systems with Applications;2022-10
2. The role of asset payouts in the estimation of default barriers;International Review of Financial Analysis;2022-05
3. Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions;The Journal of Derivatives;2019-05-31
4. Fast quadrature methods for options with discrete dividends;Journal of Computational and Applied Mathematics;2018-03
5. Pricing barrier options with discrete dividends;International Journal of Financial Engineering;2017-12
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