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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