英文标题：
《Generalized semi-Markovian dividend discount model: risk and return》
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作者：
Guglielmo D\'Amico
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最新提交年份：
2016
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英文摘要：
  The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with measurable space. The paper furnishes sufficient conditions that assure finiteness of fundamental prices and risks and new equations that describe the first and second order price-dividend ratios. Approximation methods to solve equations are provided and some new results for semi-Markov reward processes with Borel state space are established. The paper generalizes previous contributions dealing with pricing firms on the basis of fundamentals.
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中文摘要：
本文提出了当股息增长率为一般连续变量时的一般离散时间股息估值模型。主要假设股利增长率服从一个离散时间半马尔可夫链，且具有可测空间。本文给出了保证基本价格和风险有限的充分条件，以及描述一阶和二阶价格红利比的新方程。给出了求解方程的近似方法，建立了具有Borel状态空间的半马尔可夫报酬过程的一些新结果。本文总结了前人在基本面基础上对定价公司的研究成果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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