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What is Discrete Dividend Options Pricing Analysis about?
1) There are three main models for valuing options with discrete dividends: 1) adjusting the stock price, 2) adjusting the accumulation price process, and 3) modeling the price as a discontinuous process. 2) These models produce different option prices as they make different assumptions about the stock price process around dividend dates. 3) Applying one model consistently for vanilla and exotic options can lead to mispricing, as exemplified by the inconsistent implied volatility term structures and bar
- Author
- tartak
- Language
- EN