Efficient Pricing of Derivatives on Assets with Discrete Dividends

By Michel H. Vellekoop, J. Nieuwenhuis. 2006

84 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/35544f6aaeefa16bee50d0ce81375b2ab616d469

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. H. Nieuwenhuis
2. Michel H. Vellekoop

In Strategy and Management

1. H. Nieuwenhuis
2. Michel H. Vellekoop

Citations in the corpus

• A tree-based method to price American options in the Heston model (2009, methodology): “were based on standard interpolation techniques, see Vellekoop and Nieuwenhuis (2006) for a detailed description.”