Valuation of stock option with discrete dividend (Scripts) Publisher's description
Escrowed dividend model, which is the simplist and the least accurate way as a result
1, Escrowed dividend model, which is the simplist and the least accurate way as a result;
2, Chriss volatility adjustment model, besides replacing current stock price, this model adjusts volatility as well;
3, Haug & Haug volatility adjustment model; which is more sophisticated than Chriss model and takes into account the timing of the dividend;
4, Bos volatility adjustment model, a even more sophiscated model than Haug & Haug;
5, Haug, Haug and Lewis method.
Please read the original paper by Back to Basics: a new approach to the discrete dividend problem by Haug, Haug and Lewis for detail.
System Requirements:MATLAB 7.1.0 (R14SP3)
Program Release Status: New Release
Program Install Support: Install and Uninstall