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Section 090 | ||
Derivative Securities and Difference Methods (Springer Finance) by Xiaonan Wu, I-Liang Chern, You-Lan Zhu, Taiwan Taipei Hardcover, 536 Pages, Published 2004 ISBN-10: 0-387-20842-9 / 0387208429 ISBN-13: 978-0-387-20842-8 / 9780387208428 You-lan Zhu, Xiaonan Wu, I-Liang Chern. a^ - Xibi = rSi - Dt(Si, t) (2.83) because if V depends only on Si and t, then (2.81) should become (2.13). Here, Di(Si,t)dt is the dividend paid during the time period [t,t + dt]. A state variable Si with 6; = 0 in ( 2.76) is another type of state variable. |