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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

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 58.

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Date of creation: 04 Jul 2006
Date of revision:
Handle: RePEc:sce:scecfa:58
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