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q-fin.MF2019
Linear Stochastic Dividend Model
Sander Willems
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is…
q-fin.MF2019
A lognormal type stochastic volatility model with quadratic drift
Peter Carr, Sander Willems
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dis…