Option Pricing for Stocks with Dividends: An Analytic Approach by PDEs

• Autores: Bénédicte Alziary, Peter Takác
• Localización: Monografías de la Real Academia de Ciencias Exactas, Físicas, Químicas y Naturales de Zaragoza, ISSN 1132-6360, Nº. 38, 2012 (Ejemplar dedicado a: Monique Madaune-Tort), págs. 125-136
• Idioma: inglés
• Enlaces
  • Texto completo
• Resumen

  • 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.