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

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.

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Year of publication:	2006-01-02
Authors:	Amaro de Matos, Joao ; Dilao, Rui ; Ferreira, Bruno

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Amaro de Matos, Joao and Dilao, Rui and Ferreira, Bruno (2006): The exact value for European options on a stock paying a discrete dividend.
Classification:	G12 - Asset Pricing
Source:	BASE

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