A semi-Markov approach to the stock valuation problem

DOI10.1007/s10436-012-0206-1zbMath1298.91161MaRDI QIDQ470678

Guglielmo D'Amico

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-012-0206-1

zbMATH Keywords

difference equations; reward process; fundamental valuation

Mathematics Subject Classification ID

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

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A multivariate Markov chain stock model, Change point dynamics for financial data: an indexed Markov chain approach, Variance matters (in stochastic dividend discount models), Novel advancements in the Markov chain stock model: analysis and inference

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