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Sander Félix M Willems

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Related publications (6)

Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.

Linear Stochastic Dividend Model

Sander Félix M Willems

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 nonnegative. In its simplest form, the model ...

WORLD SCIENTIFIC PUBL CO PTE LTD2020

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

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. ...

2020

Asian option pricing with orthogonal polynomials

Sander Félix M Willems

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2019