Variance matters (in stochastic dividend discount models)

DOI10.1007/s10436-014-0257-6zbMath1314.91203arXiv1311.0236OpenAlexW2127461217MaRDI QIDQ2351639

Enrico Moretto, Arianna Agosto

Publication date: 26 June 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0236

zbMATH Keywords

equity valuationnon-stationarity of stochastic dividend processesstochastic dividend discount models

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL ⋮ Novel advancements in the Markov chain stock model: analysis and inference ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ A multivariate Markov chain stock model ⋮ Change point dynamics for financial data: an indexed Markov chain approach

Cites Work

• On the necessity of five risk measures
• A semi-Markov approach to the stock valuation problem
• Stock valuation along a Markov chain.
• Diversified minimum-variance portfolios
• Coherent Measures of Risk

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