Equity modelling with local stochastic volatility and stochastic discrete dividends

SocGen quants calibrate local stochastic volatility models with stochastic dividends

CLICK HERE TO VIEW THE PDF

In this article, Pierre Henry-Labordère and Hamza Guennoun extend previous work on the calibration of local stochastic volatility models with discrete dividends by incorporating stochastic dividends. An exact calibration method is obtained using the particle algorithm

Modelling (discrete) dividends is a crucial issue. Equity products such as knockout dividend swaps for which the payoff is of the form:

  1mint∈[T1,T2]⁡St

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here