Equity with Markov-modulated dividends

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

zbMATH Keywords

stochastic controlstochastic volatilityprice formationstochastic interest ratespricing modelsquantitative financestructure of financial markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (8)

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ A Markov-modulated model for stocks paying discrete dividends ⋮ Markov-modulated jump-diffusions for currency option pricing ⋮ Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions ⋮ OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model

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

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