On the pricing of bivariate options in the presence of a discrete dividend payment

Detalhes bibliográficos
Autor(a) principal: Kolb, Tilmann
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/15406
Resumo: A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper
id RCAP_92963cb243fd34a4a8a547c5d5f2adda
oai_identifier_str oai:run.unl.pt:10362/15406
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling On the pricing of bivariate options in the presence of a discrete dividend paymentBivariate optionDiscrete dividendHeat equation in financeA Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from InsperUnder the assumptions of the Black & Scholes economy, I derive a pricing formula for European bivariate options where one of the underlyings pays a discrete dividend. While the price can be approximated to any precision, this is computationally costly. Notions of the extension of the approach to a higher number of underlyings are given.Matos, João Amaro deMoura, Marcelo LeiteRUNKolb, Tilmann2016-01-10T01:30:13Z2015-012015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15406TID:201475634enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:51:25Zoai:run.unl.pt:10362/15406Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:30.477351Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv On the pricing of bivariate options in the presence of a discrete dividend payment
title On the pricing of bivariate options in the presence of a discrete dividend payment
spellingShingle On the pricing of bivariate options in the presence of a discrete dividend payment
Kolb, Tilmann
Bivariate option
Discrete dividend
Heat equation in finance
title_short On the pricing of bivariate options in the presence of a discrete dividend payment
title_full On the pricing of bivariate options in the presence of a discrete dividend payment
title_fullStr On the pricing of bivariate options in the presence of a discrete dividend payment
title_full_unstemmed On the pricing of bivariate options in the presence of a discrete dividend payment
title_sort On the pricing of bivariate options in the presence of a discrete dividend payment
author Kolb, Tilmann
author_facet Kolb, Tilmann
author_role author
dc.contributor.none.fl_str_mv Matos, João Amaro de
Moura, Marcelo Leite
RUN
dc.contributor.author.fl_str_mv Kolb, Tilmann
dc.subject.por.fl_str_mv Bivariate option
Discrete dividend
Heat equation in finance
topic Bivariate option
Discrete dividend
Heat equation in finance
description A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper
publishDate 2015
dc.date.none.fl_str_mv 2015-01
2015-01-01T00:00:00Z
2016-01-10T01:30:13Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/15406
TID:201475634
url http://hdl.handle.net/10362/15406
identifier_str_mv TID:201475634
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137863916322816

Registros relacionados