Pricing barrier options with discrete dividends
Pricing of Securities
2016-01-06 v1
Abstract
The presence of discrete dividends complicates the derivation and form of pricing formulas even for vanilla options. Existing analytic, numerical, and theoretical approximations provide results of varying quality and performance. Here, we compare the analytic approach, developed and effective for European puts and calls, of Buryak and Guo with the formulas, designed in the context of barrier option pricing, of Dai and Chiu.
Cite
@article{arxiv.1601.00940,
title = {Pricing barrier options with discrete dividends},
author = {D. Jason Gibson and Aaron Wingo},
journal= {arXiv preprint arXiv:1601.00940},
year = {2016}
}
Comments
12 pages