A multivariate Markov chain stock model

DOI10.1080/03461238.2019.1661280zbMath1447.91133OpenAlexW2971801259WikidataQ127290799 ScholiaQ127290799MaRDI QIDQ5117673

Guglielmo D'Amico, Riccardo De Blasis

Publication date: 26 August 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1661280

zbMATH Keywords

dividend discount modeldividendmultivariate Markov chainmixture transition distribution model

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

Related Items

The price leadership share: a new measure of price discovery in financial markets

Uses Software

• DFVLR-SQP

Cites Work

• A flexible Markov chain approach for multivariate credit ratings
• A semi-Markov approach to the stock valuation problem
• Markov chains: models, algorithms and applications
• Switching equilibria: the present value model for stock prices revisited
• The present value of a stochastic perpetuity and the gamma distribution
• Stock valuation along a Markov chain.
• Generalized autoregressive conditional heteroscedasticity
• Variance matters (in stochastic dividend discount models)
• Novel advancements in the Markov chain stock model: analysis and inference
• On exact sampling of stochastic perpetuities
• On a multivariate Markov chain model for credit risk measurement
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Modelling fundamental analysis in portfolio selection
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• A time‐continuous markov chain interest model with applications to insurance
• The Lindeberg-Levy Theorem for Martingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item