View License

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
Valuation of stock option with discrete dividend

Be the first to rate this file! 6 Downloads (last 30 days) File Size: 1.61 KB File ID: #26576 Version: 1.0

Valuation of stock option with discrete dividend


Biao (view profile)


Compare different pricing models for stock option with discrete dividend.

| Watch this File

File Information

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)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.

Contact us