European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield

DOI10.1186/S13662-019-2210-5zbMATH Open1485.91230OpenAlexW2960104136WikidataQ127539126 ScholiaQ127539126MaRDI QIDQ2114280FDOQ2114280

Yanyan Li

Publication date: 15 March 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-019-2210-5

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zbMATH Keywords

Black-Scholes-Merton modelgeneralized Ornstein-Uhlenbeck processoptions pricingstochastic dividend yieldstochastic earning yield

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• American options with stochastic dividends and volatility: a nonparametric investigation
• Title not available (Why is that?)

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