Share Valuation under Geometric Brownian Motion with a Poisson Imputation Tax Change
基于股息服从几何布朗运动，引入税率和股东税收抵免的泊松跳跃，推导出新的股票估值公式，并转化为资本成本和财政冲击平均时间的形式。
A share valuation model is developed on the basis of dividends following a geometric Brownian motion. An imputation tax system is chosen, although this can be collapsed into a classical system. The possibility of changes in tax rates and shareholder tax credits is introduced by means of a Poisson jump. Capital gains are assumed to be tax‐free through either annual or other exemptions. Using Itô’s Lemma, a new share valuation formula is derived. This is recast in terms of the cost of capital and the mean time to the fiscal shock.