STOCHASTIC DDM WITH REGIME-SWITCHING PROCESS

被引：0
|
作者：
Gankhuu, Battulga [1 ]
机构：
[1] Natl Univ Mongolia, Ulan Bator, Mongolia
来源：
NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION | 2024年 / 14卷 / 02期
关键词：
Subject Classification; Key words and phrases; Stochastic DDM; default risk; option pricing; life insurance; locally risk-minimizing strategy; ML estimators; DIVIDEND; VALUATION; VARIANCE; MODELS;
D O I：
10.3934/naco.2022031
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper introduces a stochastic dividend discount model with regime-switching and conditional heteroscedasticity. We obtain formulas, cor-responding to a default probability and P-th moment of a random stock price of a company. Next, we connect option pricing, hedging, and equity-linked life insurance products to the stochastic dividend discount model. Also, the paper provides maximum likelihood estimators of parameters of the stochastic dividend discount model. Finally, we present numerical results for the equity- linked life insurance products in the case of Walmart.
引用
收藏
页码：339 / 365
页数：27
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