Stochastic dividend discount model: risk and return

MaRDI QIDQ4604148zbMATH OpenFDO

Authors

Publication date 23 February 2018

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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(11)

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

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