Lioui, Abraham - In: Journal of Futures Markets 26 (2006) 7, pp. 703-732
European options are priced in a framework à la Black‐Scholes‐Merton, which is extended to incorporate stochastic dividend yield under a stochastic mean–reverting market price of risk. Explicit formulas are obtained for call and put prices and their Greek parameters. Some well‐known...