Option pricing based on a regime switching dividend process

doi:10.1080/03610926.2019.1625920

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	Option pricing based on a regime switching dividend process
	Yan, HuaHui 1; Chen, Qihong 1; Shu, HuiSheng 2
刊名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
	2019-06-19
关键词	Option pricing hidden Markov chain discrete dividend regime switching jump diffusion model
ISSN号	0361-0926
DOI	10.1080/03610926.2019.1625920
英文摘要	This article investigates the European style option valuation under the condition that dividend payments follow a regime switching jump diffusion model while the first l of them have been known. Especially, when l = 0, it follows that all the dividend payments become stochastic. Using the generalized Ito formula, we obtain the explicit solution for dividend payments of the model. From Dividend Discount theory, which implies that the stock price should be equal to the net present value of its all future dividend payments, the stock price process is then deduced. Under the usual pricing framework of derivatives, closed-form solution of European-style option is derived via the characteristic function of the occupation times.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000473473600001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/217]
专题	上海财经大学
通讯作者	Shu, HuiSheng
作者单位	1.Shanghai Univ Finance & Econ, Sch Math, Shanghai, Peoples R China; 2.Donghua Univ, Dept Appl Math, Shanghai 201620, Peoples R China
推荐引用方式 GB/T 7714	Yan, HuaHui,Chen, Qihong,Shu, HuiSheng. Option pricing based on a regime switching dividend process[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2019.
APA	Yan, HuaHui,Chen, Qihong,&Shu, HuiSheng.(2019).Option pricing based on a regime switching dividend process.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS.
MLA	Yan, HuaHui,et al."Option pricing based on a regime switching dividend process".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS (2019).