Augmented Dynamic Gordon Growth Model

Battulga Gankhuu

Papers from arXiv.org

Abstract: 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.

Date: 2022-01, Revised 2024-09
New Economics Papers: this item is included in nep-cwa, nep-ias and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2201.06012

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