A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Market valuation duration is 175 years, but drops to 46 years during crises.
Enhanced Gordon growth model for valuing financial products.
Study introduces new methods to estimate stock return rates.
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with measurable space. The paper furnishes sufficient conditions that assure finiteness of …
This chapter presents a review of the dividend discount models starting from the basic models (Williams 1938, Gordon and Shapiro 1956) to more recent and complex models (Ghezzi and Piccardi 2003, Barbu et al. 2017, D'Amico and De Blasis 2018) with a focus on the modelling of the dividend process rather than the discoun…
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amount paid directly to the holder. Valuation of a pe…
This paper surveys options pricing under arithmetic Brownian motion and derives formulas for various types of options.
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price,…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter. For transformi…
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is modeled as a Brownian motion with drift. This drift depends on an underlying Mar…
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined number of periods. A mathematical proof is provided for the suggested general solution. A numerical application is also p…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical ownership of a commodity is taken to provide a stream of convenience dividends eq…
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark v…
Researchers derive a new equation for valuing American options.
Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividend yields are stationary. Due to the failure to reject the hypothesis of a unit root in the classical dividend-price ratio for the US stock m…
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands…
New option type preserves fungibility by amortizing payments over time.
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most significant message is that the low-vol anomaly is the result of two independent…
The paper revisits and applies FTAP to life insurance and annuities pricing.
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or disc…
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 positive and the dividend rate non-negative. In its simplest form, the model features a dividend rate that is mean-reverting around a consta…
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-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
New approach to optimal dividend control with mean-variance criterion.
Optimal dividend strategy with irreversible reinsurance constraints.
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to ad…
Optimal control problem for firm cash flow with dividend and capital injection strategies.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
Optimizes dividends with stability for risky businesses.
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected di…
This paper uses basket option formulas to price vanilla options with discrete dividends.
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
Paper presents new expansions for option pricing with cash dividends.
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout …
Study finds dividend payout policy positively impacts firm profitability.
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model including the classical risk model and the Polya-Aeppli risk model as sp…
The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
Paper shows equivalence between two dividend preference models.
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic fu…
Optimizes dividend payments to balance risk and reward.
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid div…
Optimizes dividend payouts with fixed costs and regime switching.
Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.
Study optimal strategies for insurer's dividends, investments, and liabilities.
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both cap…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review …
Study finds dividend policy has no significant effect on IPO stock prices.
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…