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)
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ePrint ID: 36140
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1998Published
Date Deposited: 25 Apr 2007
Last Modified: 16 Apr 2017 22:07
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/36140

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