A semi-Markov approach to the stock valuation problem

DOI10.1007/S10436-012-0206-1zbMath1298.91161OpenAlexW2065000568MaRDI QIDQ470678

Guglielmo D'Amico

Publication date: 12 November 2014

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

Full work available at URL: https://doi.org/10.1007/s10436-012-0206-1

zbMATH Keywords

difference equationsreward processfundamental valuation

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 (4)

Novel advancements in the Markov chain stock model: analysis and inference ⋮ A multivariate Markov chain stock model ⋮ Change point dynamics for financial data: an indexed Markov chain approach ⋮ Variance matters (in stochastic dividend discount models)

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