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The Pricing of Options with Stochastic Dividend Yield

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  • Geske, Robert

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  • Geske, Robert, 1978. "The Pricing of Options with Stochastic Dividend Yield," Journal of Finance, American Finance Association, vol. 33(2), pages 617-625, May.
    • Handle: RePEc:bla:jfinan:v:33:y:1978:i:2:p:617-25
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    Citations

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    Cited by:

    1. Myers, Stewart C. & Majd, Saman., 1983. "Calculating abandonment value using option pricing theory," Working papers 1462-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Laitenberger, Jörg & Löffler, Andreas, 2002. "Capital Budgeting in Arbitrage-Free Markets," Hannover Economic Papers (HEP) dp-258, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    4. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
    5. repec:dau:papers:123456789/9845 is not listed on IDEAS
    6. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Other publications TiSEM c3d95a76-1818-4543-87f5-b, Tilburg University, School of Economics and Management.
    7. Damir Filipović & Sander Willems, 2020. "A term structure model for dividends and interest rates," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1461-1496, October.
    8. Atmaz, Adem & Basak, Suleyman, 2019. "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, vol. 134(1), pages 1-28.
    9. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
    10. Trigeorgis, Lenos, 1996. "Evaluating leases with complex operating options," European Journal of Operational Research, Elsevier, vol. 91(2), pages 315-329, June.
    11. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Discussion Paper 2007-93, Tilburg University, Center for Economic Research.
    12. Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.

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