2.13. When one purchases, as an asset, shares in a company, one also expects some regular dividends...
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2.13. When one purchases, as an asset, shares in a company, one also expects some regular dividends as part of the financial benefit of holding the shares. Generalize the arguments of Section 2.3 to derive a modified Black–Scholes equation when the asset in the portfolio also returns dividends at a known rate δ. That is, for each share held in the portfolio, over a small time interval Δt the dividend contributes δΔt to increasing the value of the portfolio.
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Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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