Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation

Tian-Shyr Dai; Chun Yuan Chiu

doi:10.1007/978-1-4614-7750-1_65

Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation

Tian-Shyr Dai, Chun Yuan Chiu

資訊管理與財務金融學系

研究成果: Chapter › 同行評審

1 引文斯高帕斯（Scopus）

摘要

To price the stock options with discrete dividend payout reasonably and consistently, the stock price falls due to dividend payout must be faithfully modeled. However, this will significantly increase the mathematical difficulty since the post-dividend stock price process, the stock price process after the price falls due to dividend payout, no longer follows the lognormal diffusion process. Analytical pricing formulas are hard to be derived even for the simplest vanilla options.

原文	English
主出版物標題	Handbook of Financial Econometrics and Statistics
發行者	Springer New York
頁面	1771-1800
頁數	30
ISBN（電子）	9781461477501
ISBN（列印）	9781461477495
DOIs	https://doi.org/10.1007/978-1-4614-7750-1_65
出版狀態	Published - 1 1月 2015

存取文件

10.1007/978-1-4614-7750-1_65

其它文件與鏈接

Link to publication in Scopus

引用此

@inbook{724ebdd06faf410da9a011dbc3ceea11,

title = "Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation",

abstract = "To price the stock options with discrete dividend payout reasonably and consistently, the stock price falls due to dividend payout must be faithfully modeled. However, this will significantly increase the mathematical difficulty since the post-dividend stock price process, the stock price process after the price falls due to dividend payout, no longer follows the lognormal diffusion process. Analytical pricing formulas are hard to be derived even for the simplest vanilla options.",

author = "Tian-Shyr Dai and Chiu, {Chun Yuan}",

year = "2015",

month = jan,

day = "1",

doi = "10.1007/978-1-4614-7750-1_65",

language = "English",

isbn = "9781461477495",

pages = "1771--1800",

booktitle = "Handbook of Financial Econometrics and Statistics",

publisher = "Springer New York",

address = "美國",

}

TY - CHAP

T1 - Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation

AU - Dai, Tian-Shyr

AU - Chiu, Chun Yuan

PY - 2015/1/1

Y1 - 2015/1/1

N2 - To price the stock options with discrete dividend payout reasonably and consistently, the stock price falls due to dividend payout must be faithfully modeled. However, this will significantly increase the mathematical difficulty since the post-dividend stock price process, the stock price process after the price falls due to dividend payout, no longer follows the lognormal diffusion process. Analytical pricing formulas are hard to be derived even for the simplest vanilla options.

AB - To price the stock options with discrete dividend payout reasonably and consistently, the stock price falls due to dividend payout must be faithfully modeled. However, this will significantly increase the mathematical difficulty since the post-dividend stock price process, the stock price process after the price falls due to dividend payout, no longer follows the lognormal diffusion process. Analytical pricing formulas are hard to be derived even for the simplest vanilla options.

UR - http://www.scopus.com/inward/record.url?scp=84945144151&partnerID=8YFLogxK

U2 - 10.1007/978-1-4614-7750-1_65

DO - 10.1007/978-1-4614-7750-1_65

M3 - Chapter

AN - SCOPUS:84945144151

SN - 9781461477495

SP - 1771

EP - 1800

BT - Handbook of Financial Econometrics and Statistics

PB - Springer New York

ER -

Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation

摘要

存取文件

其它文件與鏈接

指紋

引用此