[HTML][HTML] Fast quadrature methods for options with discrete dividends
D Thakoor, M Bhuruth - Journal of Computational and Applied Mathematics, 2018 - Elsevier
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 …
elegant solutions for European-style options with discrete dividends under the piecewise …
American option pricing: an accelerated lattice model with intelligent lattice search
Q Shang, B Byrne - 2019 - arrow.tudublin.ie
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 …
locate the optimal exercise boundary for American options. Lattice models can be …
A shifted tree model for the efficient evaluation of options with fixed dividends
M Costabile, I Massabò, E Russo - IMA Journal of Management …, 2018 - academic.oup.com
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 …
trinomial latticebased model. We propose a suitable construction of the lattice that …
Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
J Ma, J Fan - The North American Journal of Economics and Finance, 2016 - Elsevier
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 …
under geometric Brownian motions (GBMs) with known cash dividends. The aim of this …
Valuation of American Options and Employee Stock Options
QJ Shang - 2020 - arrow.tudublin.ie
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 …
trading volume. Most of the options traded on exchanges are American options. Spanning …
American option pricing: Optimal Lattice models and multidimensional efficiency tests
Q Shang, B Byrne - Journal of Futures Markets, 2021 - Wiley Online Library
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 …
a view to accelerating computation time and improving accuracy of American Option …
The black-scholes-merton dual equation
S Guo, Q Liu - arXiv preprint arXiv:1912.10380, 2019 - arxiv.org
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 …
Black-Scholes-Merton equation. The new equation is general and works for European …
A simple accurate binomial tree for pricing options on stocks with known dollar dividends
S Guo, Q Liu - Journal of Derivatives, 2019 - search.proquest.com
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 …
explosion of nodes, and make the pricing of options much more complex. This article …
Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
D Thakoor, M Bhuruth - Journal of Derivatives, 2019 - search.proquest.com
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 …
the lognormal diffusion, but they are inclined to suffer from large decreases in execution …
Recombining binomial tree for pricing options on stocks with known dollar dividends
S Guo, Q Liu - Available at SSRN 2126924, 2014 - papers.ssrn.com
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 …
explosion of nodes, which are more difficult to implement and much less efficient. This paper …