European option pricing model with generalized Ornstein–Uhlenbeck process under stochastic earning yield and stochastic dividend yield

European option pricing model with generalized Ornstein–Uhlenbeck process under stochastic earning yield and stochastic dividend yield

© 2019, The Author(s). This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield. We generalize the Ornstein–Uhlenbeck process and define it as generalized Ornstein–Uhlenbeck process. We have lea...

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書目詳細資料
Main Authors:	N. Phewchean, Y. Wu
其他作者:	South Carolina Commission on Higher Education
格式:	Article
出版:	2020
主題:	Mathematics
在線閱讀:	https://repository.li.mahidol.ac.th/handle/123456789/51203
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Mahidol University

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