Stocks frequently pay dividends, which has implications for the value of options on these
stocks. For options on a large portfolio of stocks, one can approximate discrete dividend …

It is argued that due to inconsistencies in existing methods to approximate the prices of
equity options on assets which pay out fixed cash dividends at future dates, a new approach …

Pricing options on a stock that pays discrete dividends has not been satisfactorily settled
because of the conflicting demands of computational tractability and realistic modelling of …

In a market where a stochastic interest rate component characterizes asset dynamics, we
propose a flexible lattice framework to evaluate and manage options on equities paying …

Abstract Both basic Black-Scholes and plain vanilla binomial models price options on non-
dividend-paying stocks. But most stocks pay discrete dividends, and pricing models …

We are concerned with the problem of pricing plain-vanilla and barrier options with cash
dividends in a piecewise lognormal model. In the plain-vanilla case, we offer a method with …

Purpose–The purpose of this paper is to present an arbitrarily accurate approximation for the
value of European options written on a Black‐Scholes stock paying a discrete dividend …

Deriving accurate analytical formulas for pricing stock options with discrete dividend payouts
is a hard problem even for the simplest vanilla options. This is because the falls in the stock …

We consider the problem of evaluating options on a dividend-paying asset by means of a
trinomial latticebased model. We propose a suitable construction of the lattice that …

This is a textbook on Mathematical Finance for postgraduate students and bank
practitioners. The course specifies on option pricing theory in addition to focussing on …