英文标题：
《Covariance of random stock prices in the Stochastic Dividend Discount
Model》
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作者：
Arianna Agosto, Alessandra Mainini, Enrico Moretto
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最新提交年份：
2017
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英文摘要：
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. This paper extends such previous results by determining a formula for the covariance between random stock prices when the dividends\' rates of growth are correlated. The formula is eventually applied to real market data.
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中文摘要：
股息贴现模型是在确定性环境下开发的。一些作者（Hurley和Johnson，1994和1998；Yao，1997）在随机增长率方面引入了随机性，为股票价格的预期值提供了封闭式表达式。本文通过确定股息增长率相关时随机股票价格之间的协方差公式，扩展了上述结果。该公式最终应用于实际市场数据。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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