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• W2023751419 abstract "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." @default.
• W2023751419 created "2016-06-24" @default.
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• W2023751419 date "2009-02-01" @default.
• W2023751419 modified "2023-10-14" @default.
• W2023751419 title "Equity with Markov-modulated dividends" @default.
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• W2023751419 doi "https://doi.org/10.1080/14697680802036168" @default.
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