Numerical Solution of European Call Option with Dividends and Variable Volatility

In this paper, the effect of strike price, interest rate, dividends and maturities on European call option with dividends is discussed. The option price and Greeks are determined by solving modified Black-Scholes partial differential equation by adjusting forecasted volatility at each grid point of finite difference method. It is observed that call option premium decreases as strike price and dividend increases but it increases as rate of interest and time of maturities increases. Hence call option is more profitable for a long maturity, high interest rate and low dividend

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Year of publication:	2012
Publisher:	[S.l.] : SSRN
Subject:	Dividende \| Dividend \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Optionsgeschäft \| Option trading
Description of contents:	Abstract [papers.ssrn.com]