On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

Under the assumptions of the Black & Scholes economy, I derive a pricing formula for European bivariate options where one of the underlyings pays a discrete dividend. While the price can be approximated to any precision, this is computationally costly. Notions of the extension of the approach to a higher number of underlyings are given.