Pricing and filtering in a two-dimensional dividend switching model
Year of publication: |
2010
|
---|---|
Authors: | Gapeev, Pavel V. ; Jeanblanc, Monique |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 7, p. 1001-1017
|
Subject: | Optionspreistheorie | Option pricing theory | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Theorie | Theory |
-
A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M., (2010)
-
The valuation of options on index futures with stochastic dividend yields
Zambrano, Enrique A., (2020)
-
American options on high dividend securities : a numerical investigation
Rotondi, Francesco, (2019)
- More ...
-
Pricing of contingent claims in a two-dimensional model with random dividends
Gapeev, Pavel V., (2009)
-
Gapeev, Pavel V., (2010)
-
First-to-default and second-to-default options in models with various information flows
Gapeev, Pavel V., (2021)
- More ...