Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The Pricing of Vanilla Options with Cash Dividends as a Classic Vanilla
  Basket Option Problem   In the standard Black-Scholes-Merton framework, dividends are represented as
a continuous dividend yield and the pricing of Vanilla options on a stock is
achieved through the well-known Black-Scholes formula. In reality however,
stocks pay a discrete fixed cash dividend at each dividend ex-date. This leads
to the so-called piecewise lognormal model, where the asset jumps from a fixed
known amount at each dividend date. There is however no exact closed-form
formula for the pricing of Vanilla options under this model. Approximations
must be used. While there exists many approximations taylored to this specific
problem in the litterature, this paper explores the use of existing well-known
basket option formulas for the pricing of European options on a single asset
with cash dividends in the piecewise lognormal model.

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The categories of this paper are: hep-th
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The categories of this paper are: ao-sci
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The categories of this paper are: chem-ph
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The categories of this paper are: q-bio
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The categories of this paper are: math-ph
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The categories of this paper are: funct-an
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The categories of this paper are: chao-dyn
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The categories of this paper are: nlin
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The categories of this paper are: dg-ga
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The categories of this paper are: eess
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The categories of this paper are: quant-ph
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The categories of this paper are: solv-int
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The categories of this paper are: math
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The categories of this paper are: comp-gas
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The categories of this paper are: patt-sol
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The categories of this paper are: gr-qc