EconPapers    
Economics at your fingertips  
 

Non-arbitrage valuation of equities

Sebastian Rey

International Journal of Financial Markets and Derivatives, 2015, vol. 4, issue 3/4, 231-245

Abstract: 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.

Keywords: equities valuation; non-arbitrage pricing; market price of risk; path-dependent derivatives; financial derivatives. (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.inderscience.com/link.php?id=73472 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:231-245

Access Statistics for this article

More articles in International Journal of Financial Markets and Derivatives from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker (informationadministrator5@inderscience.com).

 
Page updated 2024-10-11
Handle: RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:231-245