Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model

Strategic asset valuation is a complex problem which influences the decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future...

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Autores principales: Milanesi, Gastón S., Pesce, Gabriela, El Alabi, Emilio
Lenguaje:Inglés
Publicado: Better Advances Press. Academic Research Centre of Canada 2018
Materias:
Strategic asset
Asymmetry
Kurtosis
Edgeworth expansion
Continuous time
Real option
Firm valuation
Black-Scholes Model
Acceso en línea:http://repositoriodigital.uns.edu.ar/handle/123456789/4260
Aporte de:
Repositorio Institucional Universidad Nacional del Sur (UNS) de Universidad Nacional del Sur
id I20-R126123456789-4260
record_format dspace
institution Universidad Nacional del Sur
institution_str I-20
repository_str R-126
collection Repositorio Institucional Universidad Nacional del Sur (UNS)
language Inglés
orig_language_str_mv eng
topic Strategic asset
Asymmetry
Kurtosis
Edgeworth expansion
Continuous time
Real option
Firm valuation
Black-Scholes Model
spellingShingle Strategic asset
Asymmetry
Kurtosis
Edgeworth expansion
Continuous time
Real option
Firm valuation
Black-Scholes Model
Milanesi, Gastón S.
Pesce, Gabriela
El Alabi, Emilio
Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
topic_facet Strategic asset
Asymmetry
Kurtosis
Edgeworth expansion
Continuous time
Real option
Firm valuation
Black-Scholes Model
description Strategic asset valuation is a complex problem which influences the decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this paper, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper is original since we prove how strategic decisions are subject to the impact of higher moments in the expanded value of assets. This is why we include a detailed sensitivity analysis to clarify changes in valuation because of the influence of asymmetry (ε) or kurtosis (κ) on the underlying asset distribution. Hence, we obtained theoretical solutions to asset valuations that would have been impossible to solve.
author Milanesi, Gastón S.
Pesce, Gabriela
El Alabi, Emilio
author_facet Milanesi, Gastón S.
Pesce, Gabriela
El Alabi, Emilio
author_sort Milanesi, Gastón S.
title Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
title_short Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
title_full Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
title_fullStr Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
title_full_unstemmed Strategic asset valuation and higher stochastic moments : an adjusted Black-Scholes Model
title_sort strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
publisher Better Advances Press. Academic Research Centre of Canada
publishDate 2018
url http://repositoriodigital.uns.edu.ar/handle/123456789/4260
work_keys_str_mv AT milanesigastons strategicassetvaluationandhigherstochasticmomentsanadjustedblackscholesmodel
AT pescegabriela strategicassetvaluationandhigherstochasticmomentsanadjustedblackscholesmodel
AT elalabiemilio strategicassetvaluationandhigherstochasticmomentsanadjustedblackscholesmodel
bdutipo_str Repositorios
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