کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4630481 | 1340601 | 2012 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Numerical solution of European call option with dividends and variable volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, the effect of strike price, interest rate, dividends and maturities on European call option with dividends is discussed. The volatility for the data of ONGC Ltd. listed in National Stock Exchange, India, during 03-01-2000 to 30-03-2009 is forecasted by GJR-GARCH method. The option price and Greeks are determined by solving modified Black-Scholes partial differential equation by adjusting forecasted volatility at each grid point of finite difference method. It is observed that call option premium decreases as strike price and dividend increases but it increases as rate of interest and time of maturities increases. Hence call option is more profitable for a long maturity, high interest rate and low dividend.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 218, Issue 11, 5 February 2012, Pages 6242-6250
Journal: Applied Mathematics and Computation - Volume 218, Issue 11, 5 February 2012, Pages 6242-6250
نویسندگان
U.S. Rana, Asad Ahmad,