Equity as a call option on mean-reverting cash flows


Chang, S-W. (1998) Equity as a call option on mean-reverting cash flows. Southampton, UK, University of Southampton, 20pp. (Discussion Papers in Accounting and Management Science, (98-138) ).

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Description/Abstract

The purpose of this paper is to present an application of a cash flow-based Contingent Claims Analysis (CCA) to equity valuation. The cash flow-based Contingent Claims Analysis is used to extend a traditional CCA toproblems with incomplete capital markets, overreacted markets of situations where value of a firm can not be correctly by summing up all the firm's claims

Item Type: Monograph (Discussion Paper)
Related URLs:
Subjects: H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 36140
Date Deposited: 25 Apr 2007
Last Modified: 27 Mar 2014 18:22
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/36140

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