Showing 2018Show all
2 papers · 1 filter
q-fin.MF2018
A Term Structure Model for Dividends and Interest Rates
Damir Filipović, Sander Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffu…
q-fin.PR2018
Asian Option Pricing with Orthogonal Polynomials
Sander Willems
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that…