Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Analysis of the sensitivity to discrete dividends : A new approach for
  pricing vanillas   The incorporation of a dividend yield in the classical option pricing model
of Black- Scholes results in a minor modification of the Black-Scholes formula,
since the lognormal dynamic of the underlying asset is preserved. However,
market makers prefer to work with cash dividends with fixed value instead of a
dividend yield. Since there is no closed-form solution for the price of a
European Call in this case, many methods have been proposed in the literature
to approximate it. Here, we present a new approach. We derive an exact analytic
formula for the sensitivity to dividends of an European option. We use this
result to elaborate a proxy which possesses the same Taylor expansion around 0
with respect to the dividends as the exact price. The obtained approximation is
very fast to compute (the same complexity than the usual Black-Scholes formula)
and numerical tests show the extreme accuracy of the method for all practical
cases.

15
The categories of this paper are: nucl-ex
24
The categories of this paper are: dg-ga
26
The categories of this paper are: bayes-an
32
The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
34
The categories of this paper are: chem-ph
22
The categories of this paper are: chao-dyn
27
The categories of this paper are: comp-gas
0
The categories of this paper are: hep-ph
13
The categories of this paper are: quant-ph
11
The categories of this paper are: hep-lat
33
The categories of this paper are: plasm-ph
8
The categories of this paper are: hep-ex
23
The categories of this paper are: solv-int
25
The categories of this paper are: patt-sol
18
The categories of this paper are: econ