Augmented Dynamic Gordon Growth Model
Mathematical Finance
2024-09-24 v6
Abstract
In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutral valuation method and locally risk--minimizing strategy, we obtain pricing and hedging formulas for the dividend--paying European call and put options and equity--linked life insurance products. Also, we provide ML estimator of the model.
Cite
@article{arxiv.2201.06012,
title = {Augmented Dynamic Gordon Growth Model},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2201.06012},
year = {2024}
}
Comments
27 pages