Generalized option pricing models : numerical solutions and the pricing of a new life insurance contract
The option pricing model developed by Black and Scholes and extended by Merton gives rise to partial differential equations governing the value of an option. When the underlying stock pays no dividends - and in some very restrictive cases when it does -, a closed form solution to the partial differe...
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| Language: | English |
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2010
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| Online Access: | http://hdl.handle.net/2429/19712 |