Valuation of stock option with discrete dividend in matlab

The following Matlab project contains the source code and Matlab examples used for valuation of stock option with discrete dividend. 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.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
DiscreteDividend.m 1514
license.txt 1304

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