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
收藏
页码：39 / 51
页数：13
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