Dividend derivatives

DOI10.1080/14697688.2017.1322218zbMath1400.91616OpenAlexW4246831733MaRDI QIDQ4554410

Radu S. Tunaru

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/61555/1/DivDerivs_QF_last.pdf

zbMATH Keywords

market price of riskdividend futuresdividend optionssmile calibrationstochastic logistic diffusion

Mathematics Subject Classification ID

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

Related Items (max. 100)

On non-negative equity guarantee calculations with macroeconomic variables related to house prices ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ LINEAR STOCHASTIC DIVIDEND MODEL

Cites Work

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• Investment under alternative return assumptions
• Stochastic dividend yields and derivatives pricing in complete markets
• On the non-equilibrium density of geometric mean reversion
• Stochastic calculus for finance. II: Continuous-time models.
• American options with stochastic dividends and volatility: a nonparametric investigation
• An Asymptotic Theory of Growth Under Uncertainty
• Estimating discrete dividends by no-arbitrage

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