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Applied Economics Letters Volume 31, 2024 - Issue 12
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Research Article

The valuation of options on discrete dividend-paying stocks

Yuanchuang Shana College of Information Science and Technology, Donghua University, Shanghai, ChinaView further author information
,
Huisheng Shub College of Science, Donghua University, Shanghai, ChinaCorrespondence[email protected]
View further author information
,
Xuekang Zhangc School of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, ChinaView further author information
&
Haoran Yia College of Information Science and Technology, Donghua University, Shanghai, ChinaView further author information
Pages 1090-1095 | Published online: 12 Feb 2023

References

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  • He, X. J., and S. Lin. 2022. “An Accurate Approximation to Barrier Option Prices with Discrete Fixed-Amount Dividends: Nonlinear Dynamics.” Expert Systems with Applications 204: 117543. doi:10.1016/j.eswa.2022.117543.
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  • Rodrigo, M. R., and J. M. Goard. 2018. “Pricing of General European Options on Discrete Dividend-Paying Assets with Jump-Diffusion Dynamics.” Applied Mathematical Modelling 64: 47–54. doi:10.1016/j.apm.2018.07.018.
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  • Shan, Y. C., H. H. Yi, X. K. Zhang, and H. S. Shu. 2021. “Option Pricing Under a Markov-Modulated Merton Jump-Diffusion Dividend.” Communications in Statistics -Theory and Methods 1–18. doi:10.1080/03610926.2021.1928205.
  • Shreve, S. E. 2004. Stochastic Calculus for Finance II: Continuous-Time Models. New York: Springer-Verlag.
  • Thakoor, D., and M. Bhuruth. 2019. “Range-Curtailing for Options with Discrete Dividend Payments Under General Diffusions.” Journal of Derivatives 26 (4): 9–34. doi:10.3905/jod.2019.26.4.009.
  • Yan, H. H., Q. H. Chen, and H. S. Shu. 2020. “Option Pricing Based on a Regime Switching Dividend Process.” Communications in Statistics -Theory and Methods 49 (24): 5964–5974. doi:10.1080/03610926.2019.1625920.

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