Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Wenxiu Gong and Lingyun Gao
Pages: [45] - [59]
Received Date: May 22, 2015
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121501
Under the hypothesis of underlying asset price submitting to geometric Brownian motion, we obtain the price of dividend-paying compound options by virtue of risk-neutral pricing theory when volatility is constant and expected return rate, risk-free rate, and dividends rate are the non-random functions of time, and generalize the conclusions in some literature.
dividend, higher-order options, risk-neutral pricing.
