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A new framework for firm value using copulas


  • Elena Maria De Giuli

    () (University of Pavia)

  • Mario Maggi

    (University of Pavia)

  • Dean Fantazzini

    (University of Pavia)


In this paper we present some contingent claim analysis’ models for the firm value. We focus on two different approaches: the structural (Merton) approach and a new one that treats the asset value as a claim on the firm’s securities. The non-observability of the assets’ value in structural models can be overcome using the bivariate contingent claim analysis and copula theory. First we consider the case of the complete markets followed by the general case of incomplete markets. In the latter we provide the lower and upper bound of the firm’s value, using no-arbitrage arguments

Suggested Citation

  • Elena Maria De Giuli & Mario Maggi & Dean Fantazzini, 2006. "A new framework for firm value using copulas," Computing in Economics and Finance 2006 58, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:58

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    More about this item


    Firm value; No Arbitrage; Structural models; Bivariate option; Copula; Incomplete Markets;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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