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

dc.contributor.advisor	Silva, Marcelo Leite De Moura E
dc.contributor.author	Kolb, Tilmann
dc.coverage.spatial	São Paulo	pt_BR
dc.creator	Kolb, Tilmann
dc.date.accessioned	2021-09-13T03:24:11Z
dc.date.accessioned	2015-09-23T21:58:38Z
dc.date.available	2021-09-13T03:24:11Z
dc.date.available	2015-09-23T21:58:38Z
dc.date.issued	2015
dc.description.other	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.	pt_BR
dc.format.extent	31 p.	pt_BR
dc.identifier.uri	https://repositorio.insper.edu.br/handle/11224/738
dc.language.iso	Inglês	pt_BR
dc.rights.uri	TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM.	pt_BR
dc.subject	Bivariate option	pt_BR
dc.subject	Discrete dividend	pt_BR
dc.subject	Heat equation in finance	pt_BR
dc.title	On the pricing of bivariate options in the presence of a discrete dividend payment	pt_BR
dc.type	master thesis
dspace.entity.type	Publication
local.contributor.boardmember	Barbosa, Gustavo Soares
local.contributor.boardmember	Matos, João Amaro De
local.type	Dissertação	pt_BR