Equity with Markov-modulated dividends
نویسنده
چکیده
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 to some well known stochastic volatility models.
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تاریخ انتشار 2007