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

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    Artículo científico (1.082Mb)
    Fecha
    2015
    Autor
    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
    Editorial
    Better Advances Press. Academic Research Centre of Canada
    Metadatos
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    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
    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
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