Footnote:
In: Sebastián A. Rey (2015). Non-arbitrage valuation of equities, International Journal of Financial Markets and Derivatives, Vol. 4, Nos. 3/4, pp.231–245. https://www.inderscienceonline.com/doi/abs/10.1504/IJFMD.2015.073472
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 10, 2015 erstellt
Description:
This paper develops a framework for the valuation of equities under non-arbitrage conditions. The original contribution is that, in contrast with the traditional models (equilibrium models), the presented approach is derived using non-arbitrage arguments, commonly used for derivatives pricing. The method consists in analysing the non-arbitrage value of the equity of a company, that is assumed to be the sum of the non-arbitrage value of dividends, individually considered as (path-dependent European type) financial derivatives. A relevant characteristic of the presented approach is that the setting of subjective assumptions would be significantly reduced