Publications Database

Welcome to the new Schulich Peer-Reviewed Publication Database!

The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:

  • Faculty Member’s Name;
  • Area of Expertise;
  • Whether the Publication is Open-Access (free for public download);
  • Journal Name; and
  • Date Range.

At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.

If you have any questions or input, please don’t hesitate to get in touch.

 

Search Results

Yisong S. Tian (2023). "The Binomial Option Pricing Model: The Trouble with Dividends", International Journal of Financial Engineering, 10(4).

Open Access Download

Keywords
Abstract We identify a problem in the widely used binomial option pricing model when it is used to value options on an asset paying continuous dividends. It does not value pairs of European spot and futures options consistently even though they are theoretically equivalent. The inconsistency arises from the way dividend yield is incorporated into the jumps and probabilities. In addition, the model also has the tendency to undervalue American options due to suboptimal early exercise decisions. While the lingering effect of this problem diminishes asymptotically, it is nonetheless a concern for someone just beginning to learn the model or in applications where the use of a sufficiently large binomial tree is not practical or economical. We propose a simple modification to solve the problem and demonstrate the effectiveness of the solution.