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Applied Mathematical Finance Volume 13, 2006 - Issue 3
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Original Articles

Efficient Pricing of Derivatives on Assets with Discrete Dividends

M. H. Vellekoop Department of Applied Mathematics, University of Twente, The NetherlandsCorrespondence[email protected]
&
J. W. Nieuwenhuis Faculty of Economics, Rijksuniversiteit Groningen, The Netherlands
Pages 265-284 | Received 14 Jul 2004, Published online: 02 Feb 2007

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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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Olivier Bachem, Gabriel Drimus & Walter Farkas. (2013) Smooth and bid-offer compliant volatility surfaces under general dividend streams. Quantitative Finance 13:11, pages 1801-1812.
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Pierre Étoré & Emmanuel Gobet. (2012) Stochastic Expansion for the Pricing of Call Options with Discrete Dividends. Applied Mathematical Finance 19:3, pages 233-264.
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Alexander Buryak & Ivan Guo. (2012) New Analytic Approach to Address Put–Call Parity Violation due to Discrete Dividends. Applied Mathematical Finance 19:1, pages 37-58.
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B Swart & A Venter. (2011) Pricing of single stock futures and dividend risk. Investment Analysts Journal 40:73, pages 37-42.
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Carlos Veiga & Uwe Wystup. (2009) Closed Formula for Options with Discrete Dividends and Its Derivatives. Applied Mathematical Finance 16:6, pages 517-531.
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Articles from other publishers (45)

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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Paolo De Angelis, Roberto De Marchis, Antonio L. Martire & Emilio Russo. (2022) A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders. Decisions in Economics and Finance 45:1, pages 415-446.
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Pontus Söderbäck, Jörgen Blomvall & Martin Singull. (2022) Improved Dividend Estimation from Intraday Quotes. Entropy 24:1, pages 95.
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Simon Scheidegger & Adrien Treccani. (2021) Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*. Journal of Financial Econometrics 19:2, pages 258-290.
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Damir Filipović & Sander Willems. (2020) A term structure model for dividends and interest rates. Mathematical Finance 30:4, pages 1461-1496.
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Kyungwon Kim & Jae Wook Song. (2020) Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions. Sustainability 12:3, pages 1220.
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Rüdiger Frey, Lars Rösler & Dan Lu. (2019) Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance 29:1, pages 84-116.
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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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Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 353 387 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 307 351 .
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German Bernhart & Jan-Frederik Mai. (2017) On the impact of a scrip dividend on an equity forward. International Journal of Financial Engineering 03:04, pages 1650024.
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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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Massimo Costabile, Ivar Massabò & Emilio Russo. (2016) A shifted tree model for the efficient evaluation of options with fixed dividends. IMA Journal of Management Mathematics, pages dpw002.
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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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Paul Zimmermann. (2016) The Fallacy of Fully Dividend-Protected Stock Options and Convertible Bonds. The Journal of Derivatives 23:3, pages 61-72.
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German Bernhart & Jan-Frederik Mai. (2015) Consistent Modeling of Discrete Cash Dividends. The Journal of Derivatives 22:3, pages 9-19.
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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 .
Nelson Areal & Artur Rodrigues. (2013) Fast Trees for Options with Discrete Dividends. The Journal of Derivatives 21:1, pages 49-63.
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M. Jeunesse & B. Jourdain. (2012) Regularity of the American Put option in the Black–Scholes model with general discrete dividends. Stochastic Processes and their Applications 122:9, pages 3101-3125.
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PAVEL V. GAPEEV. (2012) PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION. International Journal of Theoretical and Applied Finance 15:01, pages 1250010.
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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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. 2012. The Handbook of Convertible Bonds. The Handbook of Convertible Bonds 363 367 .
Martina Nardon & Paolo Pianca. 2012. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 315 322 .
B. Jourdain & M. H. Vellekoop. (2011) Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends. SIAM Journal on Financial Mathematics 2:1, pages 538-561.
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Martina Nardon & Paolo Pianca. 2010. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 225 234 .
Marcellino Gaudenzi & Antonino Zanette. (2009) Pricing American barrier options with discrete dividends by binomial trees. Decisions in Economics and Finance 32:2, pages 129-148.
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Michel Vellekoop & Geeske Vlaming. (2009) Pricing American options with the SABR model. Pricing American options with the SABR model.
Damir Filipovii & Sander Willems. (2017) A Term-Structure Model for Dividends and Interest Rates. SSRN Electronic Journal.
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Antonio Cosma, Stefano Galluccio & O. Scaillet. (2016) Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps. SSRN Electronic Journal.
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Simon Scheidegger & Adrien Treccani. (2016) Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations. SSRN Electronic Journal.
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Antonio Cosma, Stefano Galluccio & O. Scaillet. (2016) Valuing American Options Using Fast Recursive Projections. SSRN Electronic Journal.
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Timothy Klassen. (2015) Pricing Vanilla Options with Cash Dividends. SSRN Electronic Journal.
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Olivier Bachem, Gabriel G. Drimus & Walter Farkas. (2012) Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams. SSRN Electronic Journal.
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Martina Nardon & Paolo Pianca. (2012) Extracting Information on Implied Volatilities and Discrete Dividends from American Option Prices. SSRN Electronic Journal.
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Antonio Cosma, Stefano Galluccio & O. Scaillet. (2012) Valuing American Options Using Fast Recursive Projections. SSRN Electronic Journal.
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Nelson Areal & Artur Rodrigues. (2010) Fast Trees for Options with Discrete Dividends. SSRN Electronic Journal.
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Pavel V. Gapeev. (2010) Pricing of Perpetual American Options in a Model with Partial Information. SSRN Electronic Journal.
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Pierre Etore & Emmanuel Gobet. (2010) Stochastic Expansion for the Pricing of Call Options with Discrete Dividends. SSRN Electronic Journal.
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Fouad Sahel & Arnaud Gocsei. (2010) Matching the Sensitivities to Discrete Dividends: A New Approach for Pricing Vanillas. SSRN Electronic Journal.
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Hans Buehler. (2010) Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk. SSRN Electronic Journal.
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