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

DOI10.1186/S13662-019-2210-5MaRDI QIDQ2114280zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 15 March 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites work

• American options with stochastic dividends and volatility: a nonparametric investigation
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options and corporate liabilities

Cited in

(1)

• A study of dividend yield model under stochastic earning yield environment in stock exchange of Thailand

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