On financial derivatives and differential equations used in their assessment

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.

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Year of publication:	2009-10-28
Authors:	Teselios, Delia ; Albici, Mihaela
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	differential equation \| options on dividend paying stock \| futures options \| Black_Scholes’ model \| Black’s model

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C00 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008555426