Valuation of stock option with discrete dividend

Version 1.0.0.0 (1.61 KB) by Biao
Compare different pricing models for stock option with discrete dividend.
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Updated 3 Feb 2010

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1, Escrowed dividend model, which is the simplist and the least accurate way as a result;
2, Chriss volatility adjustment model, besides replacing current stock price, this model adjusts volatility as well;
3, Haug & Haug volatility adjustment model; which is more sophisticated than Chriss model and takes into account the timing of the dividend;
4, Bos volatility adjustment model, a even more sophiscated model than Haug & Haug;
5, Haug, Haug and Lewis method.
Please read the original paper by Back to Basics: a new approach to the discrete dividend problem by Haug, Haug and Lewis for detail.

Cite As

Biao (2024). Valuation of stock option with discrete dividend (https://www.mathworks.com/matlabcentral/fileexchange/26576-valuation-of-stock-option-with-discrete-dividend), MATLAB Central File Exchange. Retrieved .

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1.0.0.0