On financial derivatives and differential equations used in their assessment

Teselios, Delia and Albici, Mihaela (2009): On financial derivatives and differential equations used in their assessment.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: differential equation, options on dividend paying stock, futures options, Black_Scholes’ model, Black’s model
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C00 - General; C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods

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