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Valuation of stock option with discrete dividend

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Valuation of stock option with discrete dividend

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Compare different pricing models for stock option with discrete dividend.

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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.

Required Products Financial Toolbox
MATLAB release MATLAB 7.1.0 (R14SP3)
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