Dividend based risk measures: a Markov chain approach

DOI10.1016/j.amc.2024.128611OpenAlexW4392179561MaRDI QIDQ6132107

Guglielmo D'Amico, Riccardo De Blasis

Publication date: 18 April 2024

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2024.128611

zbMATH Keywords

maximum entropyrisk measuresstock valuationfundamental priceprice moments

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx)