Sakkas, E.; Le, H. - In: Insurance: Mathematics and Economics 45 (2009) 1, pp. 19-24
We extend the model in [Korn, R., Rogers, L.C.G., 2005. Stock paying discrete dividends: modelling and option pricing. Journal of Derivatives 13, 44-49] for (discrete) dividend processes to incorporate the dependence of assets on the market mode or the state of the economy, where the latter is...