Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend

被引：15

作者：

Company, R. ^{[1
]}

Gonzalez, A. L. ^{[1
]}

Jodar, L. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Matemat Multidisciplinar, E-46071 Valencia, Spain

来源：

MATHEMATICAL AND COMPUTER MODELLING | 2006年 / 44卷 / 11-12期

关键词：

modified Black-Scholes equation; Mellin transform; numerical quadrature;

D O I：

10.1016/j.mcm.2006.03.009

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper deals with the numerical solution of the modified Black-Scholes equation modelling the valuation of stock options with discrete dividend payments. By using a delta-defining sequence of the involved generalized Dirac delta function and applying the Mellin transform, an integral formula for the solution is obtained. Then, numerical quadrature approximations and illustrative examples are given. (c) 2006 Elsevier Ltd. All rights reserved.

引用

页码：1058 / 1068

页数：11

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