2006/09/07 by Jo ao Amaro de Matos, de Matos, João Amaro, Rui Dilão +3
Economics, Econometrics and Finance · #60H15 #Analysis of PDEs (math.AP) #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.math/0609212
openalex publication_date 2006/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.