Stochastic DDM with regime-switching process

DOI10.3934/NACO.2022031MaRDI QIDQ6559154zbMATH OpenFDO

Authors Battulga Gankhuu

Publication date 21 June 2024

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/NACO.2022031

zbMATH Keywords

default risklife insurancelocally risk-minimizing strategyML estimatorsoption pricingstochastic DDM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

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• The pricing of options and corporate liabilities
• Variance matters (in stochastic dividend discount models)

Cited in

(2)

• Parameter estimation methods of required rate of return on stock
• Gordon growth model with vector autoregressive process

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