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ON A DIVIDEND-PAYING STOCK OPTIONS PRICING MODEL (SOPM) USING CONSTANT ELASTICITY OF VARIANCE STOCHASTIC DYNAMICS

Edeki, S.O. and Ugbebor, Olabisi O. and Owoloko, E. A. (2016) ON A DIVIDEND-PAYING STOCK OPTIONS PRICING MODEL (SOPM) USING CONSTANT ELASTICITY OF VARIANCE STOCHASTIC DYNAMICS. International Journal of Pure and Applied Mathematics, 106 (4). pp. 1029-1036. ISSN 1314-3395

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Abstract

In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield. This modifies the Black- Scholes equation by incorporating a non-constant volatility power function of the underlying stock price, and a dividend yield parameter.

Item Type: Article
Uncontrolled Keywords: stock options, CEV, stochastic dynamics, dividend yield
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Divisions: Faculty of Engineering, Science and Mathematics > School of Mathematics
Depositing User: Mrs Hannah Akinwumi
Date Deposited: 11 Sep 2017 10:29
Last Modified: 11 Sep 2017 10:29
URI: http://eprints.covenantuniversity.edu.ng/id/eprint/9297

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