A term structure model for dividends and interest rates
From MaRDI portal
Publication:5855963
DOI10.1111/mafi.12279OpenAlexW2964153769MaRDI QIDQ5855963
Sander Willems, Damir Filipović
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.02249
interest ratesterm structurepolynomial jump-diffusiondividend derivativesmoment-based option pricing
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
Related Items
LINEAR STOCHASTIC DIVIDEND MODEL, Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation