Article2004

A Diffusion Model for Growth Stocks

25 citations0/0 files storedMathematics of Operations Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Reporting and Valuation Research

Abstract

Since growth stocks tend to have low or even negative earnings and high volatility, it is a great challenge to derive a meaningful mathematical model within the traditional valuation framework. This paper attempts to derive a suitable diffusion model for growth stocks by using the idea of size distribution. Numerical illustration of the model based on the data covering the time period of the recent boom and burst of the “Internet bubble” is also presented.

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1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1949Human behavior and the principle of least effort 1999Zipf's Law for Cities: An Explanation 1949Human behavior and the principle of least effort.1988Brownian Motion and Stochastic Calculus 1996The self-organizing economy 1897Cours d'Economie Politique.

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2003Institutional Investors and Stock Market Volatility

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