Edeki, S.O. and Ugbebor, Olabisi O. and Owoloko, E. A. (2016) Understanding How Dividends Affect Option Prices. International Journal of Pure and Applied Mathematics, 106 (4). pp. 1029-1036. ISSN 1311-8080 (printed version); ISSN: 1314-3395 (on-line version)
![[img]](http://eprints.covenantuniversity.edu.ng/style/images/fileicons/application_pdf.png) |
PDF
Download (130kB) |
Official URL: http://www.ijpam.eu
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: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Aderonke Olufunke Asaolu |
| Date Deposited: | 29 Aug 2017 03:22 |
| Last Modified: | 29 Aug 2017 03:22 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/8957 |
Actions (login required)
 |
View Item |
