Augmented Dynamic Gordon Growth Model
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866913510578978816 |
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| author | Gankhuu, Battulga |
| author_facet | Gankhuu, Battulga |
| contents | In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutral valuation method and locally risk--minimizing strategy, we obtain pricing and hedging formulas for the dividend--paying European call and put options and equity--linked life insurance products. Also, we provide ML estimator of the model. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2201_06012 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Augmented Dynamic Gordon Growth Model Gankhuu, Battulga Mathematical Finance In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutral valuation method and locally risk--minimizing strategy, we obtain pricing and hedging formulas for the dividend--paying European call and put options and equity--linked life insurance products. Also, we provide ML estimator of the model. |
| title | Augmented Dynamic Gordon Growth Model |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2201.06012 |