A Markov-modulated model for stocks paying discrete dividends

DOI10.1016/J.INSMATHECO.2009.02.005zbMath1231.91447OpenAlexW2160678345MaRDI QIDQ659087

E. Sakkas, Huiling Le

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.02.005

zbMATH Keywords

hidden Markov chainoption pricingdividend

Mathematics Subject Classification ID

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

Related Items (4)

Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model ⋮ Option pricing based on a regime switching dividend process ⋮ Option pricing under a Markov-modulated Merton jump-diffusion dividend ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy

Cites Work

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• Option pricing and Esscher transform under regime switching
• Pricing exotic options under regime switching
• The adjusted Viterbi training for hidden Markov models
• Stochastic calculus for finance. II: Continuous-time models.
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Equity with Markov-modulated dividends
• Information and option pricings
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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