Covariance of random stock prices in the Stochastic Dividend Discount Model

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Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico;
(2016)
  • Subject: Quantitative Finance - Pricing of Securities | 91B25

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 stochastic growth rates, delivering closed-form expressions for the expected value of stock prices... View more
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