Continuous-time limits of multi-period cost-of-capital margins

DOI10.1515/STRM-2019-0008MaRDI QIDQ2063033zbMATH OpenOpenAlexFDO

Authors Hampus Engsner, Filip Lindskog

Publication date 10 January 2022

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/strm-2019-0008

zbMATH Keywords

continuous-time limitcost-of-capital marginmulti-period valuation

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Corporate finance (dividends, real options, etc.) (91G50)

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Cited in

(4)

• Estimating the cost of capital through time: An analysis of the sources of error
• Insurance valuation: a computable multi-period cost-of-capital approach
• Sul problema del reimpiego dei margini in operazioni finanziarie
• Fair valuation of insurance liability cash-flow streams in continuous time: applications

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