A shifted tree model for the efficient evaluation of options with fixed dividends

被引：3

作者：

Costabile, Massimo ^{[1
]}

Massabo, Ivar ^{[1
]}

Russo, Emilio ^{[1
]}

机构：

[1] Univ Calabria, Dept Econ Stat & Finance, Ponte Bucci Cubo 1 C, I-87036 Arcavacata Di Rende, CS, Italy

来源：

IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2018年 / 29卷 / 01期

关键词：

fixed dividends; trinomial lattice; barrier options; DISCRETE DIVIDENDS;

D O I：

10.1093/imaman/dpw002

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 guarantees the reconnecting property and so keeps the computational cost of the proposed algorithm to a reasonable level. The extensive numerical results obtained show that the model can efficiently compute accurate option prices.

引用

页码：39 / 51

页数：13

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