GAPEEV, PAVEL V.; JEANBLANC, MONIQUE - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1091-1104
We study a model of a financial market in which two risky assets are paying dividends with rates changing their initial values to other constant ones when certain events occur. Such events are associated with the first times at which the value processes of issuing firms, modeled by geometric...