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Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
Tian-Shyr Dai
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此作品的通信作者
資訊管理與財務金融學系
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19
引文 斯高帕斯(Scopus)
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Keyphrases
Option Pricing
100%
Stock Prices
100%
Path Dependence
100%
Dividends
100%
Lognormal Diffusion Process
50%
Dividend Payout
50%
Ex-dividend Date
50%
Superior Performance
25%
Numerical Calculation
25%
Realistic Model
25%
American Options
25%
Stock Price Process
25%
Analytical Pricing Formula
25%
Discrete Dividends
25%
Exotic Options
25%
Competing Demands
25%
Price Jumps
25%
Pricing Options
25%
Stock Dividends
25%
Dividend Model
25%
Price Decrease
25%
Tree Use
25%
Present Value
25%
Computational Tractability
25%
Dividend Process
25%
Efficient numerical Methods
25%
Computer Science
Option Pricing
100%
Diffusion Process
100%
Superior Performance
50%
Approximation (Algorithm)
50%
Numerical Methods
50%
Numerical Calculation
50%
Numerical Analysis
50%
Mathematics
Option Pricing
100%
Diffusion Process
100%
Generality
50%
Numerical Methods
50%
American Option
50%
Price Process
50%
Simple Structure
50%
Engineering
Lognormal
100%
Diffusion Process
100%
Nodes
50%
Numerical Methods
50%
Generality
50%
Numerical Calculation
50%
Numerical Analysis
50%
Economics, Econometrics and Finance
Pricing
100%
Stock Price
100%
Option Trading
40%
Dividend Payouts
40%
Present Value
20%
Numerical Methods
20%