On financial derivatives and differential equations used in their assessment
AbstractThis paper deals with the assessment of options on dividend paying stock and futures options. We start from the case of the underlying asset who does not generate dividend and then switch to an underlying asset which pays a continuous dividend yield. The final conditions and the boundary conditions added to a partial differential equation, allow an accurate determination of the solution.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18225.
Date of creation: 28 Oct 2009
Date of revision:
differential equation; options on dividend paying stock; futures options; Black_Scholes’ model; Black’s model;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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