Option pricing under joint dynamics of interest rates, dividends, and stock prices

DOI10.1016/J.ORL.2011.06.004MaRDI QIDQ433123zbMATH OpenOpenAlexFDO

Authors Juho Kanniainen

Publication date 13 July 2012

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2011.06.004

zbMATH Keywords

option pricinginterest ratesdividends

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹
• Option pricing under stochastic interest rates: an empirical investigation
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• Option pricing under the Merton model of the short rate
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Cites work

• Can properly discounted projects follow geometric Brownian motion?
• Explicit solutions to European options in a regime-switching economy
• Interest rate models -- theory and practice. With smile, inflation and credit
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Parameter estimation and bias correction for diffusion processes
• The pricing of options and corporate liabilities

Cited in

(2)

• scientific article; zbMATH DE number 5308465 (Why is no real title available?)
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach

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