Equity with Markov-modulated dividends
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Publication:3182645
DOI10.1080/14697680802036168zbMath1171.91337OpenAlexW2023751419MaRDI QIDQ3182645
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
stochastic controlstochastic volatilityprice formationstochastic interest ratespricing modelsquantitative financestructure of financial markets
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
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Cites Work
- Option pricing for pure jump processes with Markov switching compensators
- Saddlepoint approximations to option prices
- Option pricing using variance gamma Markov chains
- REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
- Option Pricing With Markov-Modulated Dynamics
- Stochastic Volatility for Lévy Processes
- Numerical Inversion of Laplace Transforms of Probability Distributions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options