Equity as a Call Option on Mean-Reverting Cash Flows.

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

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Year of publication:	1998
Authors:	Chang, S.W.
Institutions:	Economics Division, University of Southampton
Subject:	FINANCIAL MARKET \| ENTERPRISES \| STOCHASTIC MODELS

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Series:	University of Southampton - Department of Accounting and Management Science.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	D50 - General Equilibrium and Disequilibrium. General ; D52 - Incomplete Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780606