Stochastic dividend discount model: risk and return

zbMATH Open1383.60070MaRDI QIDQ4604148FDOQ4604148

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Publication date: 23 February 2018

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zbMATH Keywords

risksemi-Markov processreward process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15)

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• Stochastic DDM with regime-switching process
• A multivariate Markov chain stock model
• A micro-to-macro approach to returns, volumes and waiting times
• Novel advancements in the Markov chain stock model: analysis and inference
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• A semi-Markov approach to the stock valuation problem
• Parameter estimation methods of required rate of return on stock
• Linear stochastic dividend model
• A Markov-modulated model for stocks paying discrete dividends
• Variance matters (in stochastic dividend discount models)
• Dividend based risk measures: a Markov chain approach

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