This paper extends the marketed asset disclaimer approach for real option valuation. In sharp contrast to the dominant real option valuation that assumes a stochastic process for an investment’s capital value, this paper demonstrates the valuation of a real option assuming that cash flow follows a stochastic process. We show that this method is at least equally effective and sometimes more intu...

This paper presents a structural debt valuation model that links default probabilities and recovery rates of corporate securities to asset market liquidity. This linking is advantageous for risk management and regulation of financial institutions in that it provides a method of calibrating the relationship between probability of default (PD) and loss given default (LGD). Two innovations in the ...

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...

xiv Introduction 1 0.1 Changes in the Regulatory Environment . . . . . . . . . . . . . . . . 1 0.2 Thesis Outline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1 GUARANTEES UNDER UNITISED WITH-PROFITS POLICIES 9 1.1 Operation of UWP Polices . . . . . . . . . . . . . . . . . . . . . . . . 9 1.2 Reserving Approaches . . . . . . . . . . . . . . . . . . . . . . . . . . 11 1.2.1 Li...

As the industry evolves into technology driven businesses, an increasing number of companies are reaching a critical pain threshold in needing to control and manage their vast amounts of digital media assets. Technically speaking, a digital asset is any form of media that has been turned into a binary source. Digital assets, which for textile mills include everything from artwork, logos and pho...

The volatility of a nancial asset is the variance per unit time of the logarithm of the price of the asset. Volatility has a key role to play in the determination of risk and in the valuation of options and other derivative securities. The widespread Black-Scholes model for asset prices assumes constant volatility. The purpose of this chapter is to review the evidence for non-constant volatilit...

The valuation of French Canadian paintings is analyzed empirically. Using a sample of auction prices for major French Canadian painters for the period 1968-2005, we run hedonic regressions to analyze the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second stage analysis in which we analyze the ...

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises — that is, financial markets dislike economic uncertainty. Moreover, future earnings growth rates are sharply predicted by current price-earnings ratios. It...