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A black-scholes formula for option pricing with dividends
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We obtain a Black-Scholes formula for the arbitrage-free pricing of European Call options with constant coefficients when the underlying stock generates dividends.
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We see the influence of the dividend term on the option pricing via the comparison theorem of BSDE(backward stochastic differential equation [5], [7]).
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Some theoretical issues and implementation details about the algorithm are discussed, including the solution of the pricing subproblem, the quality of LP relaxations, the branching scheme as well as the column management.
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An option pricing problem with the underlying stock paying dividends
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