Can I read Stochastic Pricing of Call Options with Dividends on EtoBox?

Stochastic Pricing of Call Options with Dividends by deep is a document available to read on EtoBox.

What is Stochastic Pricing of Call Options with Dividends about?

This document presents closed analytical approximations for pricing European vanilla options in the Black-Scholes model when the underlying asset pays discrete dividends. The approximations are obtained using a stochastic Taylor expansion around a shifted lognormal proxy model. The first approximation is first order with respect to the fixed part of the dividends. The second is second order, and the third is third order. Numerical experiments show the approximations yield accurate results compared to other

Author

deep

Language

EN