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Applied Economics Letters Volume 16, 2009 - Issue 16
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Original Articles

Accurate approximation formulas for stock options with discrete dividends

Tian-Shyr Dai Department of Information and Finance Management, Institute of Information Management and Finance, National Chiao-Tung University, 1001 Ta Hsueh Road, Hsinchu, Taiwan, 300, ROCCorrespondence[email protected]
&
Yuh-Dauh Lyuu Department of Finance and Department of Computer Science & Information Engineering, National Taiwan University, No. 1, Sec. 4, Roosevelt Road, Taipei, Taiwan, 106
Pages 1657-1663 | Published online: 12 Nov 2009

Citations (12)

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Read on this site (2)

Xing Gao & Daniel Ladley. (2022) Noise trading and market stability. The European Journal of Finance 28:13-15, pages 1283-1301.
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Tian-Shyr Dai & Chun-Yuan Chiu. (2014) Pricing barrier stock options with discrete dividends by approximating analytical formulae. Quantitative Finance 14:8, pages 1367-1382.
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Articles from other publishers (10)

Norbert HilberNorbert Hilber. 2023. Bewertung von Finanzderivaten mit Python. Bewertung von Finanzderivaten mit Python 175 234 .
Xin-Jiang He & Sha Lin. (2022) An accurate approximation to barrier option prices with discrete fixed-amount dividends: Nonlinear dynamics. Expert Systems with Applications 204, pages 117543.
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Bahareh Ghafarian, Payam Hanafizadeh & Amir Hossein Mortazavi Qahi. (2018) Applying Greek letters to robust option price modeling by binomial-tree. Physica A: Statistical Mechanics and its Applications 503, pages 632-639.
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Deeveya Thakoor & Muddun Bhuruth. (2018) Fast quadrature methods for options with discrete dividends. Journal of Computational and Applied Mathematics 330, pages 1-14.
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Song-Ping Zhu & Xin-Jiang He. (2016) An accurate approximation formula for pricing European options with discrete dividend payments. IMA Journal of Management Mathematics, pages dpw020.
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Jingtang Ma & Jiacheng Fan. (2016) Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends. The North American Journal of Economics and Finance 37, pages 128-147.
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배광일. (2016) Dealing a Discrete Dividend with Basket Option Pricing Models. Korean Journal of Financial Engineering 15:1, pages 1-20.
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Tian-Shyr Dai & Chun-Yuan Chiu. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 1771 1800 .
U.S. Rana & Asad Ahmad. (2012) Numerical solution of European call option with dividends and variable volatility. Applied Mathematics and Computation 218:11, pages 6242-6250.
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Qiang Liu. (2012) Pricing Options on Stocks with Known Dividends: A Note on Hull's Popular Book. SSRN Electronic Journal.
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