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- W3177136019 abstract "There is no exact closed form formula for pricing of European options with discrete cash dividends under the model where the underlying asset price follows a piecewise lognormal process with jumps at dividend ex-dates. This paper presents alternative expansions based on the technique of Etore and Gobet, leading to more robust first, second and third-order expansions across the range of strikes and the range of dividend dates." @default.
- W3177136019 created "2021-07-05" @default.
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- W3177136019 date "2021-06-01" @default.
- W3177136019 modified "2023-09-27" @default.
- W3177136019 title "More stochastic expansions for the pricing of vanilla options with cash dividends" @default.
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