An accurate approximation to barrier option prices with discrete fixed-amount dividends: Nonlinear dynamics

作者：

Highlights：

• Barrier option pricing is studied under nonlinear dynamics with discrete dividends.

• An accurate approximation is presented for the case of multiple dividends.

• The formula is efficient, only involving multivariate normal distribution function.

摘要

•Barrier option pricing is studied under nonlinear dynamics with discrete dividends.•An accurate approximation is presented for the case of multiple dividends.•The formula is efficient, only involving multivariate normal distribution function.

论文关键词：Barrier options,Discrete fixed-amount dividends,Nonlinear,Analytical approximation,Multivariate normal distribution function

论文评审过程：Received 22 February 2022, Revised 7 April 2022, Accepted 6 May 2022, Available online 16 May 2022, Version of Record 20 May 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117543