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

• Autor(es): Kolb, Tilmann
• Data: 2015
• Identificador Persistente: http://hdl.handle.net/10362/15406
• Origem: Repositório Institucional da UNL
• Assunto(s): Bivariate option; Discrete dividend; Heat equation in finance
• Tipo de Documento: Dissertação de mestrado
• Idioma: Inglês
• Orientador(es): Matos, João Amaro de; Moura, Marcelo Leite
• Contribuidor(es): RUN

Descrição

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.