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On financial derivatives and differential equations used in their assessment

Author

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  • Teselios, Delia
  • Albici, Mihaela

Abstract

This 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.

Suggested Citation

  • Teselios, Delia & Albici, Mihaela, 2009. "On financial derivatives and differential equations used in their assessment," MPRA Paper 18225, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:18225
    as

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    File URL: https://mpra.ub.uni-muenchen.de/18225/1/MPRA_paper_18225.pdf
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    References listed on IDEAS

    as
    1. Lyuu,Yuh-Dauh, 2002. "Financial Engineering and Computation," Cambridge Books, Cambridge University Press, number 9780521781718.
    2. Hirsa, Ali & Neftci, Salih N., 2013. "An Introduction to the Mathematics of Financial Derivatives," Elsevier Monographs, Elsevier, edition 3, number 9780123846822.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    differential equation; options on dividend paying stock; futures options; Black_Scholes’ model; Black’s model;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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