Alziary, Bénédicte and Takáč, Peter
(2012)
Option Pricing for Stocks with Dividends: An Analytic Approach by PDEs.
Monografıas de la Real Academia de Ciencias de Zaragoza (n° 38).
pp. 125-136.
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Abstract
We study the Black-Scholes equations for pricing options on stocks by splitting it into two simpler PDEs that can be solved by analytically simpler and numerically faster methods than the original Black-Scholes PDE. We first use a deflator process to arrive at a numeraire S(interest-neutral stock price) computed from the first equation and then obtain a simple Black-Scholes equation for the interest-neutral call option price P with no explicit dependence on the (instantaneous short) interest rate r. We also formulate two theorems on the solvability of these PDEs.
Item Type: | Article |
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Language: | English |
Date: | 2012 |
Refereed: | Yes |
Subjects: | G- MATHEMATIQUES |
Divisions: | Institut de mathématiques de Toulouse, TSE-R (Toulouse) |
Site: | UT1 |
Date Deposited: | 23 Jan 2013 12:20 |
Last Modified: | 11 Sep 2023 12:10 |
URI: | https://publications.ut-capitole.fr/id/eprint/8631 |