Matches in SemOpenAlex for { <https://semopenalex.org/work/W2010807005> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2010807005 endingPage "241" @default.
- W2010807005 startingPage "215" @default.
- W2010807005 abstract "We develop approximations to the pricing of options on an asset which makes discrete dividend payments, focusing on the case of frequent payments. The principal mathematical tool is the method of multiple timescales, allied to matched asymptotic expansions. We first analyze European style options, deriving the continuously paid dividend equation as a limiting case of the relevant discrete problem, and we analyze the range accrual note to compute the relevant “continuity correction.” We also carry out the same analysis for Asian options with discrete averaging. We then give a detailed description of the intricate exercise policies that arise for American put (and, to a lesser extent, call) options when dividends are paid discretely, for the cases of proportionate and fixed-amount dividends." @default.
- W2010807005 created "2016-06-24" @default.
- W2010807005 creator A5053246739 @default.
- W2010807005 date "2012-01-01" @default.
- W2010807005 modified "2023-09-26" @default.
- W2010807005 title "Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments" @default.
- W2010807005 cites W1988982671 @default.
- W2010807005 cites W2068267494 @default.
- W2010807005 cites W2112479606 @default.
- W2010807005 cites W2115434847 @default.
- W2010807005 cites W2131116134 @default.
- W2010807005 cites W2159517176 @default.
- W2010807005 cites W2168954579 @default.
- W2010807005 cites W3121904677 @default.
- W2010807005 cites W65336954 @default.
- W2010807005 cites W125501676 @default.
- W2010807005 doi "https://doi.org/10.1137/090771636" @default.
- W2010807005 hasPublicationYear "2012" @default.
- W2010807005 type Work @default.
- W2010807005 sameAs 2010807005 @default.
- W2010807005 citedByCount "3" @default.
- W2010807005 countsByYear W20108070052013 @default.
- W2010807005 countsByYear W20108070052014 @default.
- W2010807005 countsByYear W20108070052017 @default.
- W2010807005 crossrefType "journal-article" @default.
- W2010807005 hasAuthorship W2010807005A5053246739 @default.
- W2010807005 hasConcept C10138342 @default.
- W2010807005 hasConcept C105795698 @default.
- W2010807005 hasConcept C106159729 @default.
- W2010807005 hasConcept C116168712 @default.
- W2010807005 hasConcept C144237770 @default.
- W2010807005 hasConcept C145097563 @default.
- W2010807005 hasConcept C149782125 @default.
- W2010807005 hasConcept C159985019 @default.
- W2010807005 hasConcept C162118730 @default.
- W2010807005 hasConcept C162324750 @default.
- W2010807005 hasConcept C1898038 @default.
- W2010807005 hasConcept C192562407 @default.
- W2010807005 hasConcept C194483076 @default.
- W2010807005 hasConcept C204323151 @default.
- W2010807005 hasConcept C2777600642 @default.
- W2010807005 hasConcept C2779307704 @default.
- W2010807005 hasConcept C2781426361 @default.
- W2010807005 hasConcept C28826006 @default.
- W2010807005 hasConcept C33923547 @default.
- W2010807005 hasConcept C38652104 @default.
- W2010807005 hasConcept C41008148 @default.
- W2010807005 hasConcept C4577558 @default.
- W2010807005 hasConcept C55689738 @default.
- W2010807005 hasConcept C59399099 @default.
- W2010807005 hasConcept C76178495 @default.
- W2010807005 hasConcept C93373587 @default.
- W2010807005 hasConceptScore W2010807005C10138342 @default.
- W2010807005 hasConceptScore W2010807005C105795698 @default.
- W2010807005 hasConceptScore W2010807005C106159729 @default.
- W2010807005 hasConceptScore W2010807005C116168712 @default.
- W2010807005 hasConceptScore W2010807005C144237770 @default.
- W2010807005 hasConceptScore W2010807005C145097563 @default.
- W2010807005 hasConceptScore W2010807005C149782125 @default.
- W2010807005 hasConceptScore W2010807005C159985019 @default.
- W2010807005 hasConceptScore W2010807005C162118730 @default.
- W2010807005 hasConceptScore W2010807005C162324750 @default.
- W2010807005 hasConceptScore W2010807005C1898038 @default.
- W2010807005 hasConceptScore W2010807005C192562407 @default.
- W2010807005 hasConceptScore W2010807005C194483076 @default.
- W2010807005 hasConceptScore W2010807005C204323151 @default.
- W2010807005 hasConceptScore W2010807005C2777600642 @default.
- W2010807005 hasConceptScore W2010807005C2779307704 @default.
- W2010807005 hasConceptScore W2010807005C2781426361 @default.
- W2010807005 hasConceptScore W2010807005C28826006 @default.
- W2010807005 hasConceptScore W2010807005C33923547 @default.
- W2010807005 hasConceptScore W2010807005C38652104 @default.
- W2010807005 hasConceptScore W2010807005C41008148 @default.
- W2010807005 hasConceptScore W2010807005C4577558 @default.
- W2010807005 hasConceptScore W2010807005C55689738 @default.
- W2010807005 hasConceptScore W2010807005C59399099 @default.
- W2010807005 hasConceptScore W2010807005C76178495 @default.
- W2010807005 hasConceptScore W2010807005C93373587 @default.
- W2010807005 hasIssue "1" @default.
- W2010807005 hasLocation W20108070051 @default.
- W2010807005 hasOpenAccess W2010807005 @default.
- W2010807005 hasPrimaryLocation W20108070051 @default.
- W2010807005 hasRelatedWork W118928193 @default.
- W2010807005 hasRelatedWork W2009128256 @default.
- W2010807005 hasRelatedWork W2010807005 @default.
- W2010807005 hasRelatedWork W2062036385 @default.
- W2010807005 hasRelatedWork W2097643684 @default.
- W2010807005 hasRelatedWork W2103104885 @default.
- W2010807005 hasRelatedWork W2269499643 @default.
- W2010807005 hasRelatedWork W2366298393 @default.
- W2010807005 hasRelatedWork W2668740567 @default.
- W2010807005 hasRelatedWork W43266575 @default.
- W2010807005 hasVolume "3" @default.
- W2010807005 isParatext "false" @default.
- W2010807005 isRetracted "false" @default.
- W2010807005 magId "2010807005" @default.
- W2010807005 workType "article" @default.