Valoración de opcionesun enfoque diferente

  1. Domingo Israel Cruz Báez
  2. José Manuel González Rodríguez
Journal:
Estudios de economía aplicada

ISSN: 1133-3197

Year of publication: 2008

Volume: 26

Issue: 1

Pages: 283-284

Type: Article

Export: RIS

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.