کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077394 1374128 2009 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Markov-modulated model for stocks paying discrete dividends
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A Markov-modulated model for stocks paying discrete dividends
چکیده انگلیسی
We extend the model in [Korn, R., Rogers, L.C.G., 2005. Stock paying discrete dividends: modelling and option pricing. Journal of Derivatives 13, 44-49] for (discrete) dividend processes to incorporate the dependence of assets on the market mode or the state of the economy, where the latter is modeled by a hidden finite-state Markov chain. We then derive the resulting dynamics of the stock price and various option-pricing formulae. It turns out that the stock price jumps not only at the time of the dividend payment, but also when the underlying Markov chain jumps.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 1, August 2009, Pages 19-24
نویسندگان
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