| AN OPTION PRICING PROBLEM WITH THEUNDERLYING STOCK PAY1NG DIVIDENDS~ |
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| 作者姓名： | XUWensheng Zhuangling WuZHEN |
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| 作者单位： | [1]DepartmentofApp]iedMathematics,ZhejiangUnlverslty.Hangzhou310027 [2]DepartmentofChemlcalEngmeering,ZhejiangUniversity,Hangzhou31002 [3]DepartmentofMathematicsshandongUniversity,Jinan250100 |
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| 摘 要： | In this paper, a pricing problem of European call options is considered, wbete the underlying stock generates dividends d, at some fixed future dates T, before the expiration date T .without the inappropriate assumption made in that the dlvkdeMs being payed continously.The arbitrage free pricing of the option is determined via a series of partial differential equations.which is derived at the view point of backward s‘tochasric differential ertuation (BBDE). It isshowed how the dividends affect the fair price of the call options. Some simulating results are alsogiven to illust rate the respective in fluence of parameters a.T.r,K.di and F1 on the option pricing.
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| 关 键 词： | 价格选择 被除数 微分方程 参数影响 |
| 收稿时间： | 11 June 1996 |
An option pricing problem with the underlying stock paying dividends |
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| XUWensheng Zhuangling WuZHEN.AN OPTION PRICING PROBLEM WITH THEUNDERLYING STOCK PAY1NG DIVIDENDS~[J].Applied Mathematics A Journal of Chinese Universities,1997,12(4):447-454. |
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| Authors: | Xu Wensheng Zhuang Ling Wu Zhen |
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| Institution: | (1) Department of Applied Mathematics, Zhejiang University, 310027 Hangzhou;(2) Payment and Science &. Technology Department, People’s Bank of China, 100800, Beijing;(3) Department of Chemical Engineering, Zhejiang University, 310027, Hangzhou;(4) Department of Mathematics, Shandong University, 250100, Jinan |
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| Abstract: | In this paper, a pricing problem of European call options is considered, where the underlying stock generates dividends d, at some fixed future dates T, before the expiration date 7′. without the inappropriate assumption made in 11] that the dividends being payed continuously.
The arbitrage free pricing of the option is determined via a series of partial differential equations, which is derived at
the view point of backward stochastic differential equation (BSDE). It is showed how the dividends affect the fair price of
the call options. Some simulating results are also given to illustrate the respective influence of parameters σ.T. r. K,d, and T, on the option pricing.
This work is supported by the National Natural Science Foundation of China. |
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| Keywords: | Option pricing European call option stock market dividends |
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