An axiomatic approach to the valuation of cash flows

DOI10.1080/03461238.2011.628408MaRDI QIDQ4576835zbMATH OpenOpenAlexFDO

Authors F. Armerin

Publication date 11 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2011.628408

zbMATH Keywords

real optionsvaluationcash flow modelling

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A stochastic interest model with an application to insurance
• Arbitrage and equilibrium in economies with infinitely many commodities
• Calcul stochastique et problèmes de martingales
• Martingale Valuation of Cash Flows for Insurance and Interest Models
• Martingale densities for general asset prices
• Payment Measures, Interest, and Discounting
• The mathematics of arbitrage
• Th�orie des processus stochastiques g�n�raux applications aux surmartingales
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• What is the time value of a stream of investments?

Cited in

(15)

• On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
• Valuation of cash flows under random rates of interest: a linear algebraic approach
• Term Structure Models with Parallel and Proportional Shifts
• scientific article; zbMATH DE number 4057232 (Why is no real title available?)
• scientific article; zbMATH DE number 1741798 (Why is no real title available?)
• Martingale Valuation of Cash Flows for Insurance and Interest Models
• Measures for firms value in random scenarios
• On the use of the terminal-value approach in risk-value models
• The value of a liability cash flow in discrete time subject to capital requirements
• Axioms for the valuation of payment streams: A topological vector space approach
• Monetary valuation of cash flows under Knightian uncertainty
• A note on a simplified approach to the valuation of risky streams
• Statistical causality, optional and predictable projections
• Reconsideration of the present value method
• scientific article; zbMATH DE number 4211750 (Why is no real title available?)

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