A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS
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Publication:3564990
DOI10.1142/S0219024910005747zbMath1208.91145MaRDI QIDQ3564990
Publication date: 27 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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- Stochastic dividend yields and derivatives pricing in complete markets
- Martingales and stochastic integrals in the theory of continuous trading
- A general version of the fundamental theorem of asset pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options