Valuation of stock option with discrete dividend

Compare different pricing models for stock option with discrete dividend.

Description

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.

• Required Products: Financial Toolbox
• MATLAB release: MATLAB 7.1.0 (R14SP3)