Equity with Markov-modulated dividends

DOI10.1080/14697680802036168MaRDI QIDQ3182645zbMATH OpenOpenAlexFDO

Authors Giuseppe Di-Graziano, L. C. G. Rogers

Publication date 12 October 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802036168

zbMATH Keywords

stochastic controlstochastic interest ratesstochastic volatilityprice formationpricing modelsquantitative financestructure of financial markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Option Pricing With Markov-Modulated Dynamics
• A Markov-modulated model for stocks paying discrete dividends
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
• Option pricing of a dividends-payment model with a jump-diffusion
• Pricing options under two-factor Markov-modulated stochastic volatility models

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Option Pricing With Markov-Modulated Dynamics
• Option pricing for pure jump processes with Markov switching compensators
• Option pricing using variance gamma Markov chains
• Real options with priced regime-switching risk
• Saddlepoint approximations to option prices
• Stochastic Volatility for Lévy Processes

Cited in

(14)

• Stochastic DDM with regime-switching process
• Dividend derivatives
• Dividend derivatives
• On some functionals of the first passage times in models with switching stochastic volatility
• Equilibrium equity price with optimal dividend policy
• Pricing and hedging performance on pegged FX markets based on a regime switching model
• Financial jeopardy
• Option Pricing With Markov-Modulated Dynamics
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
• Rare shock, two-factor stochastic volatility and currency option pricing
• Option pricing using a regime switching stochastic discount factor
• Markov-modulated jump-diffusions for currency option pricing
• A Markov-modulated model for stocks paying discrete dividends

This page was built for publication: Equity with Markov-modulated dividends

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3182645)