LINEAR STOCHASTIC DIVIDEND MODEL

DOI10.1142/S0219024920500442zbMath1470.91291arXiv1908.05850MaRDI QIDQ5854311

Sander Willems

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.05850

zbMATH Keywords

term-structure modelspolynomial processesdividend derivatives

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Polynomial diffusions and applications in finance
• Linear credit risk models
• Information Theory and Statistical Mechanics
• Mean stochastic comparison of diffusions
• Dividend derivatives
• A term structure model for dividends and interest rates

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