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

• Main Authors: N. Phewchean, Y. Wu
• Other Authors: South Carolina Commission on Higher Education
• Format: Article
• Published: 2020
• Subjects: Mathematics
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/51203
• Institution: Mahidol University

© 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...