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Título : Strategic asset valuation and higher stochastic moments: an adjusted Black-Scholes Model
Autor(es) : Milanesi, Gastón S.
Pesce, Gabriela
El Alabi, Emilio
Palabras clave : Strategic asset; Asymmetry; Kurtosis; Edgeworth expansion; Continuous time; Real option; Firm valuation; Black-Scholes Model
Fecha de publicación : 2015
Editorial : Better Advances Press. Academic Research Centre of Canada
Referencia bibliográfica : Milanesi, G. S., Pesce, Gabriela, El Alabi, Emilio (2015). Strategic Asset Valuation and Higher Stochastic Moments: An Adjusted Black-Scholes Model. Journal of Contemporary Management. vol. 4, no. 3 pp. 95-106. Disponible en: http://repositoriodigital.uns.edu.ar/handle/123456789/4260
Resumen : 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.
URI : http://repositoriodigital.uns.edu.ar/handle/123456789/4260
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