Comparison of American Binomial Options with Discrete and Continuous Dividend
| Main Authors: | Merdekawati, Dian Ayu; Technology Institute of Sepuluh Nopember Surabaya, Norasia, Yolanda; Technology Institute of Sepuluh Nopember Surabaya, Kumalasari, Charisma Juni; Technology Institute of Sepuluh Nopember Surabaya, Putri, Endah Rokhmati Merdika; Technology Institute of Sepuluh Nopember Surabaya |
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| Other Authors: | Technology Institute of Sepuluh Nopember, Departement of Mathematics |
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Institut Teknologi Sepuluh Nopember
, 2020
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| Subjects: | |
| Online Access: |
http://iptek.its.ac.id/index.php/ijcsam/article/view/4283 http://iptek.its.ac.id/index.php/ijcsam/article/view/4283/5092 http://iptek.its.ac.id/index.php/ijcsam/article/downloadSuppFile/4283/366 |
Daftar Isi:
- This study discusses the effect of dividend on option pricing by using a binomial method. It also investigated the initial stock value, number of steps, and strike price effects on the behavior of options pricing. From several simulations conducted, it was found that the values of call options with discrete dividend are greater than the continuous dividend. While on the put option, the values of the put options with a continuous dividend are greater than the discrete dividend.