Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant … and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time. …

basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims … this case is the Black-Scholes geometric Brownian motion model. Data on S&P 500 options from the Wall Street Journal are …

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of …. The Paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior …

correlated and lagged-dependent lognormal diffusion processes. We then price options on credit-sensitive bonds. The recombining …

the stock price process and test it on empirical data for four “momentum” stocks and their heavily traded options …