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relies on stochastic recurrence equation theory and builds on the work of Bougerol (1993) and Straumann (2005). The … in Markov chain theory, as they require very little from the distribution of the underlying process. Furthermore, they …
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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
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