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    A Binomial Model with Edgeworth Expansion on Particular Circumstances

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    Artículo científico (430.1Kb)
    Fecha
    2018-11
    Autor
    Milanesi, Gastón S.
    El Alabi, Emilio
    Palabras clave
    Contingent States; Real options; Tax Savings; Edgeworth Expansion
    Editorial
    Catalan Association of Accounting and Management
    Metadatos
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    Resumen
    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.
    URI
    http://repositoriodigital.uns.edu.ar/handle/123456789/4444
    Referencia bibliográfica
    Milanesi, G., El Alabi, Emilio (2018). A binomial model with edgeworth expansion on particular. European accounting and management review (EAMR). En RIDCA. Disponible en: http://repositoriodigital.uns.edu.ar/handle/123456789/4444
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