# Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment

Rafael Company; Lucas Jódar; Enrique Ponsoda

Banach Center Publications (2008)

- Volume: 83, Issue: 1, page 37-47
- ISSN: 0137-6934

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topRafael Company, Lucas Jódar, and Enrique Ponsoda. "Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment." Banach Center Publications 83.1 (2008): 37-47. <http://eudml.org/doc/282447>.

@article{RafaelCompany2008,

abstract = {This paper deals with the construction of numerical solution of the Black-Scholes (B-S) type equation modeling option pricing with variable yield discrete dividend payment at time $t_\{d\}$. Firstly the shifted delta generalized function $δ(t-t_\{d\})$ appearing in the B-S equation is approximated by an appropriate sequence of nice ordinary functions. Then a semidiscretization technique applied on the underlying asset is used to construct a numerical solution. The limit of this numerical solution is independent of the considered sequence of the nice type. Illustrative examples including the comparison with the exact solution recently given in [2] for the case of constant yield discrete dividend payment are presented.},

author = {Rafael Company, Lucas Jódar, Enrique Ponsoda},

journal = {Banach Center Publications},

keywords = {Black–Scholes equation; discrete dividends; variable yield; numerical solution; semidiscretization},

language = {eng},

number = {1},

pages = {37-47},

title = {Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment},

url = {http://eudml.org/doc/282447},

volume = {83},

year = {2008},

}

TY - JOUR

AU - Rafael Company

AU - Lucas Jódar

AU - Enrique Ponsoda

TI - Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment

JO - Banach Center Publications

PY - 2008

VL - 83

IS - 1

SP - 37

EP - 47

AB - This paper deals with the construction of numerical solution of the Black-Scholes (B-S) type equation modeling option pricing with variable yield discrete dividend payment at time $t_{d}$. Firstly the shifted delta generalized function $δ(t-t_{d})$ appearing in the B-S equation is approximated by an appropriate sequence of nice ordinary functions. Then a semidiscretization technique applied on the underlying asset is used to construct a numerical solution. The limit of this numerical solution is independent of the considered sequence of the nice type. Illustrative examples including the comparison with the exact solution recently given in [2] for the case of constant yield discrete dividend payment are presented.

LA - eng

KW - Black–Scholes equation; discrete dividends; variable yield; numerical solution; semidiscretization

UR - http://eudml.org/doc/282447

ER -

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