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

zbMATH Open1153.91476MaRDI QIDQ3534745FDOQ3534745

Authors: R. Company, E. Ponsoda, L. Jódar 

Publication date: 4 November 2008

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zbMATH Keywords

numerical solutionsemidiscretizationBlack-Scholes equationvariable yielddiscrete dividends

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15)

Cited In (5)

• An efficient method for option pricing with discrete dividend payment
• Pricing of basket options in subdiffusive fractional Black-Scholes model
• A study of the Black scholes pricing model under varying dividend yields
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Computing option pricing models under transaction costs

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