Stochastic dividend yields and derivatives pricing in complete markets

DOI10.1007/s11147-006-9000-4zbMath1201.91204OpenAlexW1985826745MaRDI QIDQ867117

Abraham Lioui

Publication date: 14 February 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-006-9000-4

zbMATH Keywords

complete marketsforwards and futuresmarket prices of risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Dividend derivatives ⋮ A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS ⋮ Dividend derivatives

Cites Work

• Monte Carlo computation of optimal portfolios in complete markets
• Dynamic asset pricing with non-redundant forwards
• Pricing continuously resettled contingent claims
• American options with stochastic dividends and volatility: a nonparametric investigation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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