Title: Fast Option Pricing with Discrete Dividends
Abstract: While discrete dividends are ubiquitous in all equity markets, there is no consensus on quoting and pricing approaches; many market participants rely on approximations or on models that have dubious boundary behavior (e.g.: negative stock prices, maturity-dependent parameters,..). I this talk we provide an overview of coherent option pricing with dividends, with an emphasis on highly performant numerical methods for European, Bermudan, and American options.
Bio: Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies & Data Group (QSDG) at Bank of America, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and at CMU’s Tepper School of Business. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. Having started his career as a robotics engineer at Bosch GBMH in Stuttgart, Leif moved to Finance in 1993 and has now worked for more than 30 years as a quantitative researcher in the global markets area. He was IAQF’s Financial Engineer of the Year in 2023, and a recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards. Leif has authored influential research papers and books in all areas of quantitative finance, including the popular 3-volume monograph Interest Rate Modeling, co-authored with Vladimir Piterbarg. He is an Associate Editor of Journal of Computational Finance and Mathematical Finance.
