论文标题
增强动态戈登增长模型
Augmented Dynamic Gordon Growth Model
论文作者
论文摘要
在本文中，我们介绍了一个动态的戈登增长模型，该模型随着时间的流逝而增强 - 各种现货利率和股息的戈登增长模型。使用风险 - 中立的估值方法和当地风险 - 最小化策略，我们为股息获得定价和对冲公式 - 拨款欧洲呼叫，并将期权和股权 - 与股权 - 与人寿保险相关的产品。另外，我们提供模型的ML估计器。
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.
