A term structure model for dividends and interest rates
| Autor: | Sander Willems, Damir Filipović |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
term structure media_common.quotation_subject 01 natural sciences bubbles FOS: Economics and business 010104 statistics & probability moment-based option pricing Accounting 0502 economics and business Econometrics Economics 0101 mathematics Euribor dividend derivatives media_common maximum-entropy 050208 finance approximate option valuation Applied Mathematics Bond 05 social sciences duration 91B70 91G20 91G30 interest rates Mathematical Finance (q-fin.MF) Interest rate swap polynomial jump-diffusion Interest rate densities Quantitative Finance - Mathematical Finance Valuation of options Dividend Pricing of Securities (q-fin.PR) Quantitative Finance - Pricing of Securities Futures contract Social Sciences (miscellaneous) Finance Affine term structure model |
| Zdroj: | Mathematical Finance. 30:1461-1496 |
| ISSN: | 1467-9965 0960-1627 |
| DOI: | 10.1111/mafi.12279 |
| Popis: | 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 the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend options, and Euro Stoxx 50 index options. Forthcoming in Mathematical Finance |
| Databáze: | OpenAIRE |
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