Valoración de opcionesun enfoque diferente
- Cruz Báez, Domingo Israel
- González Rodríguez, José Manuel
ISSN: 1133-3197, 1697-5731
Any de publicació: 2008
Volum: 26
Número: 1
Pàgines: 283-284
Tipus: Article
Altres publicacions en: Estudios de economía aplicada
Resum
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.