PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS

DOI10.1142/S0219024909005592zbMath1182.91174OpenAlexW2137276402MaRDI QIDQ3400130

Pavel V. Gapeev, Monique Jeanblanc-Picqué

Publication date: 5 February 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005592

zbMATH Keywords

Brownian motionfirst passage timestrong Markov propertystructural approachEuropean contingent claimsrunning minimum processfull and partial informationrandom dividend rates

Mathematics Subject Classification ID

Related Items (2)

DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION ⋮ PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL

Cites Work

• A reflection principle for correlated defaults
• Double Lookbacks
• Hitting Lines with Two-Dimensional Brownian Motion

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