股利与复合泊松过程:一种新的随机股票价格模型

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2022-05-30 DOI:10.1142/s0219024922500145

BATTULGA GANKHUU, JACOB KLEINOW, ALTANGEREL LKHAMSUREN, ANDREAS HORSCH

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引用次数: 0

摘要

本文引入了一个随机多期股利贴现模型(DDM)，该模型包括(i)股利增长的复合非齐次泊松过程和(ii)企业违约的概率。我们得到了模型参数的极大似然估计量和置信区间公式。我们将该模型应用于标准普尔500指数中的一组公司，使用42年期间的历史股息和价格数据。有趣的是，用该模型计算出的股票价格估计值接近于可观测价格。总体而言，我们证明了该模型可以作为股票定价的有用工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL

This study introduces a stochastic multi-period dividend discount model (DDM) that includes (i) a compound nonhomogenous Poisson process for dividend growth and (ii) the probability of firm default. We obtain maximum likelihood (ML) estimators and confidence interval formulas of our model parameters. We apply the model to a set of firms from the S&P 500 index using historical dividend and price data over a 42-year period. Interestingly, stock price estimations calculated with the model are close to the observable prices. Overall, we prove that the model can be a useful tool for stock pricing.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.