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Title:

Consistent Modeling of Discrete Cash Dividends

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Mai, J.-F.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Based on the general idea of considering the stock price as the sum over all future expected discounted dividends, a flexible approach for the modeling of discrete cash dividends is developed. From a theoretical perspective, such a viewpoint automatically implies an arbitrage-free modeling approach and allows for embedding almost any kind of commonly applied stock price model and dividend specification. The practical implications are discussed and a tractable pricing framework is presented. Fina...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
working paper
Year:
2012
Pages contribution:
-
Reviewed:
nein
Language:
en
Status:
Erstveröffentlichung
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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