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  • Search: subject:"moment-based option pricing"
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Year of publication
Subject
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Derivat 1 Derivative 1 Dividend 1 Dividend derivatives 1 Dividende 1 Interest rate 1 Interest rate derivative 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Yield curve 1 Zins 1 Zinsderivat 1 Zinsstruktur 1 interest rates 1 moment-based option pricing 1 polynomial jump-diffusion 1 term structure 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Filipović, Damir 1 Willems, Sander 1
Published in...
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Research paper series / Swiss Finance Institute 1
Source
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ECONIS (ZBW) 1
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A term-structure model for dividends and interest rates
Filipović, Damir; Willems, Sander - 2017
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
Persistent link: https://www.econbiz.de/10011874740
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