Quadratic hedging for asset derivatives with discrete stochastic dividends-Reference-Cited by-同舟云学术

Quadratic hedging for asset derivatives with discrete stochastic dividends

Published:2003-04 Issue:2 Volume:32 Page:229-243
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Battauz Anna

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference8 articles.

1. Björk, T., 1998. Arbitrage Theory in Continuous Time. Oxford University Press, Oxford.

2. Ex-dividend behaviour of common stocks;Boyd;Reviews of Financial Studies,1994

3. Delbaen, F., Schachermayer, W., 1997. Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. In: Proceedings of the Symposia in Applied Mathematics, pp. 1–10.

4. Ex-dividend stock prices behaviour and Aribtrage opportunities;Heath;Journal of Business,1988

5. Why do stock prices drop less than the value of the dividend? Evidence from a country without taxes;Murray;Journal of Financial Economics,1998

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