Asset Trading and Valuation with Uncertain Exposure
نویسندگان
چکیده
منابع مشابه
Insider Trading with Stochastic Valuation†
This paper studies a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset fundamental value. At a random time a public announcement reveals the current value of the asset to all the traders. The equilibrium has two regimes separated by an endogenously determined ...
متن کاملIntangible Asset Valuation Approaches
There are numerous reasons to apply the cost approach to the valuation of an intangible asset. Before applying this valuation approach, the valuation analyst should be familiar with the generally accepted cost approach methods and procedures. In addition, the valuation analyst should have sufficient data to measure (1) the intangible asset cost components and (2) the intangible asset obsolescen...
متن کاملEndogenous trading constraints with incomplete asset markets
The present paper endogeneizes the borrowing constraints on capital holdings in an infinite horizon incomplete markets model with capital accumulation. In particular, it assumes that two types of households can break their trading arrangements by going into financial autarky, in which case they are seized from any positive asset holdings and excluded from future asset trade forever. Since we sh...
متن کاملStochastic Compounding and Uncertain Valuation∗
Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We apply a generalized version of Perron-Frobenius theory to construct this probability measure and pres...
متن کاملShort-Term Generation Asset Valuation
In this paper we present a method for valuing a power plant over a short term period using Monte Carlo sim ulation The power plant valuation problem is formu lated as a multi stage stochastic problem We assume there are hourly markets for both electricity and the fuel used by the generator and their prices follow some Ito processes At each hour the power plant opera tor must decide to run or no...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2405014