The valuation of options on discrete dividend-paying stocks
APPLIED ECONOMICS LETTERS(2023)
摘要
In this paper, the valuation of European options in which the underlying stock pays a discrete dividend is investigated. A specific value is set in advance, and a dividend is paid when the underlying share price reaches it. The risk-neutral price of the associated European call option is derived. Numerical simulations are presented to illustrate the effects of model parameters on the option prices.
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关键词
Option pricing,discrete dividend,risk-neutral,numerical simulation
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