Valoración de opcionesun enfoque diferente

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

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


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.