| A BLACK－SCHOLES FORMULA FOR OPTIONPRICINGWITHDIVIDENDS |
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| 引用本文： | XU WENSHENG AND WU ZHEN. A BLACK－SCHOLES FORMULA FOR OPTIONPRICINGWITHDIVIDENDS[J]. 高校应用数学学报(英文版), 1996, 0(2) |
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| 作者姓名： | XU WENSHENG AND WU ZHEN |
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| 摘 要： | ＡＢＬＡＣＫ－ＳＣＨＯＬＥＳＦＯＲＭＵＬＡＦＯＲＯＰＴＩＯＮＰＲＩＣＩＮＧＷＩＴＨＤＩＶＩＤＥＮＤＳ＊ＸＵＷＥＮＳＨＥＮＧＡＮＤＷＵＺＨＥＮＡｂｓｔｒａｃｔ．ＷｅｏｂｔａｉｎａＢｌａｃｋ－Ｓｃｈｏｌｅｓｆｏｒｍｕｌａｆｏｒｔｈｅａｒｂｉｔｒａｇｅ－ｆ...
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A BLACK SCHOLES FORMULA FOR OPTION PRICING WITH DIVIDENDS * |
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| XU WENSHENG AND WU ZHEN. A BLACK SCHOLES FORMULA FOR OPTION PRICING WITH DIVIDENDS *[J]. Applied Mathematics A Journal of Chinese Universities, 1996, 0(2) |
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| Authors: | XU WENSHENG AND WU ZHEN |
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| Affiliation: | XU WENSHENG AND WU ZHEN |
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| Abstract: | We obtain a Black Scholes formula for the arbitrage free pricing of European Call options with constant coefficients when the underlying stock generates dividends. To hedge the Call option, we will always borrow money form bank. We see the influence of the dividend term on the option pricing via the comparison theorem of BSDE(backward stochastic differential equation,). We also consider the option pricing problem in terms of the borrowing rate R which is not equal to the interest rate r. The corresponding Black Scholes formula is given. We notice that it is in fact the borrowing rate that plays the role in the pricing formula. |
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| Keywords: | Black Scholes formula optionpricing stock market dividends. |
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