Pricing American barrier options with discrete dividends by binomial trees
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DOI: 10.1007/s10203-009-0089-4
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References listed on IDEAS
- Marcellino Gaudenzi & Maria Antonietta Lepellere, 2006. "Pricing And Hedging American Barrier Options By A Modified Binomial Method," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 533-553.
- M. H. Vellekoop & J. W. Nieuwenhuis, 2006. "Efficient Pricing of Derivatives on Assets with Discrete Dividends," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 265-284.
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Cited by:
- Lihua Zhang & Weiguo Zhang & Weijun Xu & Xiang Shi, 2014. "A Modified Least-Squares Simulation Approach to Value American Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 489-506, December.
- Tian-Shyr Dai & Chun-Yuan Chiu, 2013. "Pricing barrier stock options with discrete dividends by approximating analytical formulae," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1367-1382, October.
- Marcellino Gaudenzi & Antonino Zanette, 2017. "Fast binomial procedures for pricing Parisian/ParAsian options," Computational Management Science, Springer, vol. 14(3), pages 313-331, July.
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More about this item
Keywords
American options; Barrier options; Tree methods; Discrete dividends; Singular points; G13; C63;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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