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

DOI10.1016/J.ORL.2011.06.004zbMATH Open1242.91187OpenAlexW1982366081MaRDI QIDQ433123FDOQ433123

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

Recommendations

• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹
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zbMATH Keywords

option pricinginterest ratesdividends

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Title not available (Why is that?)
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach

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