Closed Formula for Options with Discrete Dividends and Its Derivatives
نویسندگان
چکیده
منابع مشابه
Options with discrete deterministic dividends
in which CBS is the usual European call price of an option without dividends. The function φ(S0, S, td) is the log-normal no dividend density function. The integral representation given in (1) does not have an explicit solution. It can be approximated with a numerical integration method, which may be complicated due to the right side boundary at infinity. Another possibility is to solve the Bla...
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Dear Author Please address all the numbered queries on this page which are clearly identified on the proof for your convenience. Query number Query 1 Please note that the reference Whaley (1981) and (1982) are not cited in the text. 2 Please note that we have retained Tian-Shyr Dai as the corresponding author as per the cats mail. So please check it. 15 Pricing options on a stock that pays disc...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2009
ISSN: 1350-486X,1466-4313
DOI: 10.1080/13504860903075498