Equity with Markov-modulated dividends

被引：13

作者：

Di Graziano, Giuseppe ^{[2
]}

Rogers, L. C. G. ^{[1
]}

机构：

[1] Univ Cambridge, Stat Lab, Cambridge CB3 0WB, England

[2] Kings Coll London, Dept Math, London WC2R 2LS, England

来源：

QUANTITATIVE FINANCE | 2009年 / 9卷 / 01期

关键词：

Stochastic interest rates; Structure of financial markets; Stochastic volatility; Stochastic control; Quantitative finance; Pricing models; Price formation; STOCHASTIC VOLATILITY;

D O I：

10.1080/14697680802036168

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We introduce a simple model for the pricing of European-style options when the underlying dividend process is given by a geometric Brownian motion with Markov-modulated coefficients. It turns out that the corresponding stock process is characterized by both stochastic coefficients and jumps. Transform methods are used to recover option prices. The model is calibrated to market data and the results compared with some well-known stochastic volatility models.

引用

页码：19 / 26

页数：8

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