Author(s): Kolb, Tilmann
Date: 2015
Persistent ID: http://hdl.handle.net/10362/15406
Origin: Repositório Institucional da UNL
Subject(s): Bivariate option; Discrete dividend; Heat equation in finance
Author(s): Kolb, Tilmann
Date: 2015
Persistent ID: http://hdl.handle.net/10362/15406
Origin: Repositório Institucional da UNL
Subject(s): Bivariate option; Discrete dividend; Heat equation in finance
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
Under 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.