|
|
Digital Library of the
European Council for Modelling and Simulation |
|
Title: |
Corporate
Valuation Model In A Stochastic Framework |
|
Authors: |
Barbara Dömötör, Péter Juhász |
|
Published in:
|
(2012).ECMS
2012 Proceedings edited by: K. G. Troitzsch, M. Moehring, U. Lotzmann. European
Council for Modeling and Simulation. doi:10.7148/2012 ISBN:
978-0-9564944-4-3 26th
European Conference on Modelling and Simulation, Shaping reality through simulation Koblenz,
Germany, May 29 – June 1 2012 |
|
Citation
format: |
Dömötör, B., & Juhasz,
P. (2012). Corporate Valuation Model In A Stochastic Framework. ECMS 2012
Proceedings edited by: K. G. Troitzsch, M. Moehring, U. Lotzmann
(pp. 260-266). European Council for Modeling and Simulation. doi:10.7148/2012-0260-0266 |
|
DOI: |
http://dx.doi.org/10.7148/2012-0260-0266 |
|
Abstract: |
In this
paper we present a corporate valuation model, which integrates the different
approaches of various fields of finance in a single stochastic framework. We
construct a stylized company, which has its explicit production, inventory,
export and import activity. In our simulation we analyze the affect of the
future volatility of three stochastic factors (production, inflation and
exchange rate) and their correlations on the distribution of the current
value of the firm. Furthermore we investigate the added value of the
possibility of early termination of the project. |
|
Full
text: |
|
