DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL

DOI10.1142/S0219024922500145zbMath1496.91099OpenAlexW4224309625MaRDI QIDQ5088805

Battulga Gankhuu, Altangerel Lkhamsuren, Jacob Kleinow, Andreas Horsch

Publication date: 13 July 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500145

zbMATH Keywords

ML estimatorscompound nonhomogeneous Poisson processrandom time of firm defaultstochastic dividend discount model

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Financial Modelling with Jump Processes
• Linear Models in Statistics
• Common risk factors in the returns on stocks and bonds
• Univariate Discrete Distributions
• An introduction to statistical modeling of extreme values

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