Valoración de opcionesun enfoque diferente
- Domingo Israel Cruz Báez
- José Manuel González Rodríguez
ISSN: 1133-3197
Year of publication: 2008
Volume: 26
Issue: 1
Pages: 283-284
Type: Article
More publications in: Estudios de economía aplicada
Metrics
CIRC
- Social Sciences: B
Abstract
In this work, we offer a new method to value options. To illustrate this, and from a point of view different, we analyze the value of the European and Arithmetic Asian options on a dividend-paying asset. Our method uses partial differential equations, integral transforms and the program Mathematica. Also, this is a novel alternative, since is obtained a great accuracy at a low computational cost and is simpler than others.