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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …