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Abstract

In the context of a Black-Scholeseconomy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of Europeanoptions on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and weobtain the exact value of the option.



Item Type: MPRA Paper -

Original Title: The exact value for European options on a stock paying a discrete dividend-

Language: English-

Keywords: European options; Black-Scholes economy-

Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates-





Autor: Amaro de Matos, Joao

Fuente: https://mpra.ub.uni-muenchen.de/701/







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