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An axiomatic approach to the valuation of cash flows
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).ORCID iD: 0000-0003-4454-474X
2014 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, Vol. 2014, no 1, 32-40 p.Article in journal (Refereed) Published
Abstract [en]

We model a stream of cash flows as an optional stochastic process, and value the cash flows by using a continuous and strictly positive linear functional. By applying a representation theorem from the general theory of stochastic processes we are able to study this valuation principle, as well as properties of the stochastic discount factor it implies. This approach to valuation is useful in the non-presence of a financial market, as is often the case when valuing cash flows arising from insurance contracts and in the application of real options.

Place, publisher, year, edition, pages
2014. Vol. 2014, no 1, 32-40 p.
Keyword [en]
valuation, cash flow modelling, real options
National Category
Other Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-142883DOI: 10.1080/03461238.2011.628408ISI: 000330933600002Scopus ID: 2-s2.0-84893742313OAI: oai:DiVA.org:kth-142883DiVA: diva2:705032
Note

QC 20140314

Available from: 2014-03-14 Created: 2014-03-13 Last updated: 2017-12-05Bibliographically approved

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  • apa
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  • Other locale
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Output format
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  • asciidoc
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