A Stochastic Extension of the Miller‐Modigliani Framework1

DOI10.1111/j.1467-9965.1991.tb00019.xzbMath0900.90106OpenAlexW2019464639WikidataQ64116878 ScholiaQ64116878MaRDI QIDQ4345918

John P. Lehoczky, N. A. Derzko, Suresh P. Sethi

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00019.x

zbMATH Keywords

Miller-Modigliani frameworkpartial equilibrium frameworkdividend approach to valuationvaluation of a corporate firm

Mathematics Subject Classification ID

Related Items (8)

Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Modeling and asymptotic analysis of insurance company performance ⋮ An approach to the absence of price bubbles through state-price deflators ⋮ Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty ⋮ Optimal investment policy and dividend payment strategy in an insurance company ⋮ Approximation of Optimal Reinsurance and Dividend Payout Policies ⋮ Arbitrage Theory with State-Price Deflators

Cites Work

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• A note on a simplified approach to the valuation of risky streams
• An extension of the Modigliani-Miller theorem to stochastic economies with incomplete markets and interdependent securities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mathematical analysis of the Miller-Modigliani theory
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation

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