The GARCH model has been very successful in capturing the serial correlation of asset return volatilities. As a result, applying the model to options pricing attracts a lot of attention. However, previous tree-based GARCH option pricing algorithms suffer from exponential running time, a cut-off...

Deriving accurate analytical formulas for pricing stock options with discrete dividend payouts is a hard problem even for the simplest vanilla options. This is because the falls in the stock price process due to discrete dividend payouts will significantly increase the mathematical difficulty in...

Pricing options on a stock that pays discrete dividends has not been satisfactorily settled because of the conflicting demands of computational tractability and realistic modelling of the stock price process. Many papers assume that the stock price minus the present value of future dividends or...