Valoración de opcionesun enfoque diferente
- Cruz Báez, Domingo Israel
- González Rodríguez, José Manuel
ISSN: 1133-3197, 1697-5731
Argitalpen urtea: 2008
Alea: 26
Zenbakia: 1
Orrialdeak: 283-284
Mota: Artikulua
Beste argitalpen batzuk: Estudios de economía aplicada
Laburpena
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.