Derivation of Black Scholes Equation Using Heston’s Model with Dividend Yielding Asset

dc.contributor.author	Brian, Oduor D.
dc.date.accessioned	2022-05-26T16:10:52Z
dc.date.available	2022-05-26T16:10:52Z
dc.date.issued	12/5/2021
dc.identifier.uri	http://ir.jooust.ac.ke:8080/xmlui/handle/123456789/10926
dc.description.abstract	Black Scholes formula is crucial in modern applied finance. Since the introduction of Black – Scholes concept model that assumes volatility is constant; several studies have proposed models that address the shortcomings of Black – Scholes model. Heston’s models stands out amongst most volatility models because the process of volatility is positive and is a process that obeys mean reversion and this is what is observed in the real market world. One of the shortcomings of Heston’s model is that it doesn’t incorporate dividend yielding asset. Black Scholes partial differential equation revolves around Geometric Brownian motion and its extensions. We therefore incorporate dividend yielding asset on Heston’s model and use it to model a new Black Scholes equation using the knowledge of partial differential equations.	en_US
dc.language.iso	en	en_US
dc.publisher	International Journal of Statistics and Applied Mathematics	en_US
dc.subject	Volatility	en_US
dc.subject	Dividends	en_US
dc.subject	Geometric Brownian Motion	en_US
dc.subject	Black - Scholes Formula	en_US
dc.subject	Heston’s Model	en_US
dc.title	Derivation of Black Scholes Equation Using Heston’s Model with Dividend Yielding Asset	en_US
dc.type	Article	en_US