European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield
type: Item
instance of: scholarly article
title: European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield
zbMATH Open document ID: 1485.91230
author: Yanyan Li
published in: Advances in Difference Equations
publication date: 2022-03-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7489612
zbMATH Keywords: options pricing
zbMATH Keywords: stochastic earning yield
zbMATH Keywords: stochastic dividend yield
zbMATH Keywords: Black-Scholes-Merton model
zbMATH Keywords: generalized Ornstein-Uhlenbeck process
MaRDI profile type: Publication
full work available at URL: s13662-019-2210-5
OpenAlex ID: W2960104136
cites work: The pricing of options and corporate liabilities
cites work: American options with stochastic dividends and volatility: a nonparametric investigation
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Q4002114
cites work: Q4349551
Wikidata QID: Q127539126
DOI: 10.1186/S13662-019-2210-5
Recommended article: Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
Recommended article: Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends
Recommended article: European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
Recommended article: Q5383530
Recommended article: Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
Recommended article: Q4431522
Recommended article: Q4623637
Recommended article: Pricing European Options Under Stochastic Volatilities Models
Recommended article: Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
description: scientific article; zbMATH DE number 7489612