Valoración de opcionesun enfoque diferente
- Cruz Báez, Domingo Israel
- González Rodríguez, José Manuel
ISSN: 1133-3197, 1697-5731
Ano de publicación: 2008
Volume: 26
Número: 1
Páxinas: 283-284
Tipo: Artigo
Outras publicacións en: Estudios de economía aplicada
Resumo
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.