The Valuation of Cash-Flows in the Presence of Dividend Barriers

Medium Econometrische Toepassingen, Vol. 11, No. 2, pp. 18-25, 2003

Proceedings Astin Colloquium, pp. 30, 2001

20 Pages Posted: 2 Mar 2006

See all articles by Ann De Schepper

Ann De Schepper

University of Antwerp - Faculty of Applied Economics

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Jan Dhaene

Katholieke Universiteit Leuven

David Vyncke

Ghent University - Department of Applied Mathematics and Computer Science

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE)

Abstract

A subject often recurring in financial and actuarial papers is the pricing of stocks and securities when the rate of return is stochastic. In most cases, the stocks considered are assumed not to pay out any dividend. In the present contribution we show how it is possible to obtain upper and lower bounds for the (distribution of the) accumulated value of a cash-flow in the presence of dividend barriers at a future time t, when the logarithm of the stock price is modelled by means of a Wiener process.

Suggested Citation

De Schepper, Ann and Goovaerts, Marc and Dhaene, Jan and Vyncke, David and Kaas, Rob, The Valuation of Cash-Flows in the Presence of Dividend Barriers. Medium Econometrische Toepassingen, Vol. 11, No. 2, pp. 18-25, 2003 , Proceedings Astin Colloquium, pp. 30, 2001, Available at SSRN: https://ssrn.com/abstract=886313

Ann De Schepper (Contact Author)

University of Antwerp - Faculty of Applied Economics ( email )

Prinsstraat 13
Antwerp, B-2000
Belgium

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

Jan Dhaene

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

David Vyncke

Ghent University - Department of Applied Mathematics and Computer Science ( email )

Gent, 9000
Belgium

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

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