Option Pricing under a Markov-modulated Merton Jump-Diffusion Dividend
Communications in statistics Theory and methods/Communications in statistics, theory and methods(2021)
摘要
In this paper, the valuation of European option is investigated when the discrete dividends are described by Markov-modulated Merton jump-diffusion process. According to the dividend discount theory, we regard the stock price as the net present value of all future dividends. The regime switching Esscher transform is applied to determine a risk-neutral measure. The closed form solution of European option is obtained under the condition that the dividend payments are announced in advance. Numerical simulations for the European call option prices are provided.
更多查看译文
关键词
Option pricing,discrete dividend,Markov-modulated,Esscher transform,risk-neutral measure
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要