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Equity valuation under stock dilution and buy-back
1. | Financial Engineering Research Center, Soochow University, Suzhou, Jiangsu 215006, China |
2. | Department of Mathematical Sciences, University of Cincinnati, Cincinnati, OH 45221-0025, United States |
References:
[1] |
F. Black and M. Scholes, The pricing of options and corporate liabilities,, J. Political Econ. \textbf{81} (1973), 81 (1973), 637. Google Scholar |
[2] |
F. Black, The dividend puzzle,, Journal of Portfolio Management, 2 (1976), 5. Google Scholar |
[3] |
Mark H. A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou, European option pricing with transaction costs,, SIAM J. Control Optim., 31 (1993), 470.
doi: 10.1137/0331022. |
[4] |
Avner Friedman, "Stochastic Differential Equations and Applications," Vol. 1,, Probability and Mathematical Statistics, (1975).
|
[5] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs,, Review of Futures Markets, 8 (1989), 222. Google Scholar |
[6] |
Jiang Lishang, "Mathematical Modeling and Methods of Option Pricing,", World Scientific Publishing Co., (2005).
|
[7] |
Jan Kallsen, Utility-based derivative pricing in incomplete markets,, in, (2002), 313.
|
[8] |
Zhuang Kang and Srdjan D. Stojanovic, Interest rate risk premium and equity valuation,, J. Syst. Sci. Complex, 23 (2010), 484.
doi: 10.1007/s11424-010-0142-y. |
[9] |
Robert C. Merton, Theory of rational option pricing,, Bell J. Econom. and Management Sci., 4 (1973), 141.
|
[10] |
R. C. Merton, "Continuous-Time Finance,", Wiley-Blackwell, (1990). Google Scholar |
[11] |
M. H. Miller and F. Modigliani, Dividend Policy, Growth, and the Valuation of Shares,, Journal of Business, 34 (1961), 411.
doi: 10.1086/294442. |
[12] |
Marek Musiela and Thaleia Zariphopoulou, An example of indifference prices under exponential preferences,, Finance Stoch., 8 (2004), 229.
|
[13] |
Richard Rouge and Nicole El Karoui, Pricing via utility maximization and entropy,, Mathematical Finance, 10 (2000), 259.
doi: 10.1111/1467-9965.00093. |
[14] |
Srdjan D. Stojanovic, Risk premium and fair option prices under stochastic volatility: The HARA solution,, C. R. Math. Acad. Sci. Paris, 340 (2005), 551.
doi: 10.1016/j.crma.2004.11.002. |
[15] |
Srdjan D. Stojanovic, "Stochastic Volatility & Risk Premium,", Lecture Notes, (2005). Google Scholar |
[16] |
Srdjan D. Stojanovic, Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itô SDE systems,, Asia Pacific Financial Markets, 13 (2006), 345.
doi: 10.1007/s10690-007-9049-6. |
[17] |
Srdjan D. Stojanovic, The dividend puzzle unpuzzled,, 2007., (). Google Scholar |
[18] |
Srdjan D. Stojanovic, "Advanced Financial Engineering for Interest Rates, Equity, and FX,", Lecture Notes, (2007). Google Scholar |
[19] |
Srdjan D. Stojanovic, Any-utility neutral and indifference pricing and hedging,, International Research Forum, (2010). Google Scholar |
[20] |
Srdjan D. Stojanovic, "Neutral and Indifference Pricing, Hedging and Investing,", Springer, (2011). Google Scholar |
[21] |
Srdjan D. Stojanovic and Zhuang Kang, General difussive neutral pricing under non-zero portfolio position,, work in progress., (). Google Scholar |
show all references
References:
[1] |
F. Black and M. Scholes, The pricing of options and corporate liabilities,, J. Political Econ. \textbf{81} (1973), 81 (1973), 637. Google Scholar |
[2] |
F. Black, The dividend puzzle,, Journal of Portfolio Management, 2 (1976), 5. Google Scholar |
[3] |
Mark H. A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou, European option pricing with transaction costs,, SIAM J. Control Optim., 31 (1993), 470.
doi: 10.1137/0331022. |
[4] |
Avner Friedman, "Stochastic Differential Equations and Applications," Vol. 1,, Probability and Mathematical Statistics, (1975).
|
[5] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs,, Review of Futures Markets, 8 (1989), 222. Google Scholar |
[6] |
Jiang Lishang, "Mathematical Modeling and Methods of Option Pricing,", World Scientific Publishing Co., (2005).
|
[7] |
Jan Kallsen, Utility-based derivative pricing in incomplete markets,, in, (2002), 313.
|
[8] |
Zhuang Kang and Srdjan D. Stojanovic, Interest rate risk premium and equity valuation,, J. Syst. Sci. Complex, 23 (2010), 484.
doi: 10.1007/s11424-010-0142-y. |
[9] |
Robert C. Merton, Theory of rational option pricing,, Bell J. Econom. and Management Sci., 4 (1973), 141.
|
[10] |
R. C. Merton, "Continuous-Time Finance,", Wiley-Blackwell, (1990). Google Scholar |
[11] |
M. H. Miller and F. Modigliani, Dividend Policy, Growth, and the Valuation of Shares,, Journal of Business, 34 (1961), 411.
doi: 10.1086/294442. |
[12] |
Marek Musiela and Thaleia Zariphopoulou, An example of indifference prices under exponential preferences,, Finance Stoch., 8 (2004), 229.
|
[13] |
Richard Rouge and Nicole El Karoui, Pricing via utility maximization and entropy,, Mathematical Finance, 10 (2000), 259.
doi: 10.1111/1467-9965.00093. |
[14] |
Srdjan D. Stojanovic, Risk premium and fair option prices under stochastic volatility: The HARA solution,, C. R. Math. Acad. Sci. Paris, 340 (2005), 551.
doi: 10.1016/j.crma.2004.11.002. |
[15] |
Srdjan D. Stojanovic, "Stochastic Volatility & Risk Premium,", Lecture Notes, (2005). Google Scholar |
[16] |
Srdjan D. Stojanovic, Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itô SDE systems,, Asia Pacific Financial Markets, 13 (2006), 345.
doi: 10.1007/s10690-007-9049-6. |
[17] |
Srdjan D. Stojanovic, The dividend puzzle unpuzzled,, 2007., (). Google Scholar |
[18] |
Srdjan D. Stojanovic, "Advanced Financial Engineering for Interest Rates, Equity, and FX,", Lecture Notes, (2007). Google Scholar |
[19] |
Srdjan D. Stojanovic, Any-utility neutral and indifference pricing and hedging,, International Research Forum, (2010). Google Scholar |
[20] |
Srdjan D. Stojanovic, "Neutral and Indifference Pricing, Hedging and Investing,", Springer, (2011). Google Scholar |
[21] |
Srdjan D. Stojanovic and Zhuang Kang, General difussive neutral pricing under non-zero portfolio position,, work in progress., (). Google Scholar |
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