{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/more-stochastic-expansions-for-the-pricing-of","title":"More stochastic expansions for the pricing of vanilla options with cash dividends","arxiv_id":"2106.12051","date":"2021-06-22","proceeding":null,"authors":["Fabien Le Floc'h"],"abstract":"There is no exact closed form formula for pricing of European options with discrete cash dividends under the model where the underlying asset price follows a piecewise lognormal process with jumps at dividend ex-dates. This paper presents alternative expansions based on the technique of Etore and Gobet, leading to more robust first, second and third-order expansions across the range of strikes and the range of dividend dates.","url_abs":"https://arxiv.org/abs/2106.12051v1","url_pdf":"https://arxiv.org/pdf/2106.12051v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"more-stochastic-expansions-for-the-pricing-of","repo_url":"https://github.com/jherekhealy/AQFED.jl/blob/master/src/pln/etore_gobet.jl","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}