PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL

DOI10.1142/S021902491000608XzbMath1207.91062OpenAlexW2020888839MaRDI QIDQ3067761

Pavel V. Gapeev, Monique Jeanblanc-Picqué

Publication date: 13 January 2011

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

Full work available at URL: https://doi.org/10.1142/s021902491000608x

zbMATH Keywords

conditional probability densityposterior probabilityfiltering equationEuropean contingent claimsrandom dividend rates, partial information

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (3)

DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS

Cites Work

• PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
• INFORMATION-BASED ASSET PRICING
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