EconPapers    
Economics at your fingertips  
 

The exact value for European options on a stock paying a discrete dividend

João Amaro de Matos (), Rui Dilao and Bruno Ferreira

MPRA Paper from University Library of Munich, Germany

Abstract: In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and we obtain the exact value of the option.

Keywords: European options; Black-Scholes economy (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2006-01-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/701/1/MPRA_paper_701.pdf original version (application/pdf)

Related works:
Working Paper: The Exact Value for European Options on a Stock Paying a Discrete Dividend (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:701

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2022-05-17
Handle: RePEc:pra:mprapa:701