On financial derivatives and differential equations used in their assessment

Delia Teselios () and Albici Mihaela ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: differential equation; options on dividend paying stock; futures options; Black_Scholes’ model; Black’s model (search for similar items in EconPapers)
JEL-codes: C00 C02 (search for similar items in EconPapers)
Date: 2009-10-28
New Economics Papers: this item is included in nep-cfn
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/18225/1/MPRA_paper_18225.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18225

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().