A Stochastic Extension of the Miller‐Modigliani Framework1

DOI10.1111/J.1467-9965.1991.TB00019.XMaRDI QIDQ4345918zbMATH OpenOpenAlexWikidataFDO

Authors N. A. Derzko, John P. Lehoczky, 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

dividend approach to valuationMiller-Modigliani frameworkpartial equilibrium frameworkvaluation of a corporate firm

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• 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
• 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
• scientific article; zbMATH DE number 3754355 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mathematical analysis of the Miller-Modigliani theory

Cited in

(11)

• An extension of the Modigliani-Miller theorem to stochastic economies with incomplete markets and interdependent securities
• When does the share price equal the present value of future dividends? A modified dividend approach
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Arbitrage theory with state-price deflators
• Optimal dividend payment and regime switching in a compound Poisson risk model
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
• Modeling and asymptotic analysis of insurance company performance
• An approach to the absence of price bubbles through state-price deflators
• Optimal investment policy and dividend payment strategy in an insurance company

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