A Binomial Model with Edgeworth Expansion on Particular Circumstances

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Contexts with high volatility and extreme events condition the value of the firm, its tax savings and continuity. These conditions must be contemplated for the employed valuation model. In that sense, the present paper’ basis is the classic binomial model incorporating: a) firm contingent states of...

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Autores principales: Milanesi, Gastón S., El Alabi, Emilio
Lenguaje:Inglés
Publicado: Catalan Association of Accounting and Management 2018
Materias:
Contingent States
Real options
Tax Savings
Edgeworth Expansion
Acceso en línea:http://repositoriodigital.uns.edu.ar/handle/123456789/4444
Aporte de:
Repositorio Institucional Universidad Nacional del Sur (UNS) de Universidad Nacional del Sur
id I20-R126-123456789-4444
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spelling I20-R126-123456789-44442025-12-05T16:37:47Z A Binomial Model with Edgeworth Expansion on Particular Circumstances Milanesi, Gastón S. El Alabi, Emilio Contingent States Real options Tax Savings Edgeworth Expansion Contexts with high volatility and extreme events condition the value of the firm, its tax savings and continuity. These conditions must be contemplated for the employed valuation model. In that sense, the present paper’ basis is the classic binomial model incorporating: a) firm contingent states of continuity or dissolution; b) tax saving valuation like a basket of real options, and c) extreme events by Edgeworth transformation. The paper structures in the following manner: first it develops the binomial function changed with the Edgeworth extension and the construction of implicit binomial lattice. Then it develops a valuation adapted to the binomial model with Edgeworth expansion that incorporates contingent tax savings, continuity or liquidation scenarios and cost of bankruptcy. With a hypothetical case it is illustrated its functioning, and comparing the results obtained between situations with kurtosis and skewness or normally. Finally the main conclusions are exposed. 2018-12-17T19:27:14Z 2018-12-17T19:27:14Z 2018-11 http://repositoriodigital.uns.edu.ar/handle/123456789/4444 eng Atribución – No Comercial – Sin Obra Derivada (BY-NC-ND) No se permite un uso comercial de la obra original ni la generación de obras derivadas. Esta licencia no es una licencia libre, y es la más cercana al derecho de autor tradicional. https://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución – No Comercial – Compartir Igual (BY-NC-SA): Permite a otros distribuir, adaptar, refundir y crear a partir de LA OBRA, sin fines comerciales, siempre y cuando le den crédito al autor por la creación original y licencien sus nuevas creaciones bajo condiciones idénticas. https://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf 25 págs. application/pdf Catalan Association of Accounting and Management
institution Universidad Nacional del Sur
institution_str I-20
repository_str R-126
collection Repositorio Institucional Universidad Nacional del Sur (UNS)
language Inglés
topic Contingent States
Real options
Tax Savings
Edgeworth Expansion
spellingShingle Contingent States
Real options
Tax Savings
Edgeworth Expansion
Milanesi, Gastón S.
El Alabi, Emilio
A Binomial Model with Edgeworth Expansion on Particular Circumstances
topic_facet Contingent States
Real options
Tax Savings
Edgeworth Expansion
description Contexts with high volatility and extreme events condition the value of the firm, its tax savings and continuity. These conditions must be contemplated for the employed valuation model. In that sense, the present paper’ basis is the classic binomial model incorporating: a) firm contingent states of continuity or dissolution; b) tax saving valuation like a basket of real options, and c) extreme events by Edgeworth transformation. The paper structures in the following manner: first it develops the binomial function changed with the Edgeworth extension and the construction of implicit binomial lattice. Then it develops a valuation adapted to the binomial model with Edgeworth expansion that incorporates contingent tax savings, continuity or liquidation scenarios and cost of bankruptcy. With a hypothetical case it is illustrated its functioning, and comparing the results obtained between situations with kurtosis and skewness or normally. Finally the main conclusions are exposed.
author Milanesi, Gastón S.
El Alabi, Emilio
author_facet Milanesi, Gastón S.
El Alabi, Emilio
author_sort Milanesi, Gastón S.
title A Binomial Model with Edgeworth Expansion on Particular Circumstances
title_short A Binomial Model with Edgeworth Expansion on Particular Circumstances
title_full A Binomial Model with Edgeworth Expansion on Particular Circumstances
title_fullStr A Binomial Model with Edgeworth Expansion on Particular Circumstances
title_full_unstemmed A Binomial Model with Edgeworth Expansion on Particular Circumstances
title_sort binomial model with edgeworth expansion on particular circumstances
publisher Catalan Association of Accounting and Management
publishDate 2018
url http://repositoriodigital.uns.edu.ar/handle/123456789/4444
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AT elalabiemilio binomialmodelwithedgeworthexpansiononparticularcircumstances
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