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Equity as a call option on mean-reverting cash flows

Equity as a call option on mean-reverting cash flows
Equity as a call option on mean-reverting cash flows
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
98-138
University of Southampton
Chang, S-W.
79c07d01-2fd3-4e6a-8811-653029c1da2d
Chang, S-W.
79c07d01-2fd3-4e6a-8811-653029c1da2d

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

Record type: Monograph (Discussion Paper)

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

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Published date: 1998

Identifiers

Local EPrints ID: 36140
URI: http://eprints.soton.ac.uk/id/eprint/36140
PURE UUID: c4f32621-d06c-4c9c-b4e8-6626e902b5bf

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Date deposited: 25 Apr 2007
Last modified: 11 Dec 2021 15:31

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Contributors

Author: S-W. Chang

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