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

DOI10.1016/j.orl.2011.06.004zbMath1242.91187OpenAlexW1982366081MaRDI QIDQ433123

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)

Cites Work

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

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