Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend.
Rafael CompanyA. L. GonzálezLucas JódarPublished in: Math. Comput. Model. (2006)
Keyphrases
- numerical solution
- option pricing
- black scholes
- stock price
- convertible bonds
- numerical methods
- difference equations
- black scholes model
- stock market
- stock exchange
- differential equations
- historical data
- non stationary
- partial differential equations
- financial markets
- finite element
- finite difference
- financial data
- exchange rate
- decision analysis
- boundary value problem
- news articles
- financial time series
- exact solution
- pricing model
- multiscale
- curve evolution
- neural network
- fuzzy numbers
- dynamical systems
- higher order
- lower bound