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q-fin.PR2016★ 1 cited
Covariance of random stock prices in the Stochastic Dividend Discount Model
Arianna Agosto, Alessandra Mainini, Enrico Moretto
Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochast…
q-fin.PR2013
Variance matters (in stochastic dividend discount models)
Arianna Agosto, Enrico Moretto
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according…