Comparison of American Binomial Options with Discrete and Continuous Dividend

Autor:	Yolanda Norasia, Endah Rokhmati Merdika Putri, Charisma Juni Kumalasari, Dian Ayu Merdekawati
Rok vydání:	2020
Předmět:	Valuation of options Econometrics Economics Dividend Put option Strike price Stock (geology)
Zdroj:	International Journal of Computing Science and Applied Mathematics. 6:54
ISSN:	2477-5401
DOI:	10.12962/j24775401.v6i2.4283
Popis:	This study discusses the effect of dividend on option pricing by using a binomial method. It also investigated the initial stock value, number of steps, and strike price effects on the behavior of options pricing. From several simulations conducted, it was found that the values of call options with discrete dividend are greater than the continuous dividend. While on the put option, the values of the put options with a continuous dividend are greater than the discrete dividend.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::84a720457d9bb01350b0758dc841781e https://doi.org/10.12962/j24775401.v6i2.4283 Zobrazit plný text záznamu