EconStor >
Academy of Entrepreneurial Finance (AEF), Montrose, CA >
Journal of Entrepreneurial Finance >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56001
  
Title:Some potential means for venture valuation PDF Logo
Authors:Stummer, Wolfgang
Issue Date:2002
Citation:[Journal:] Journal of Entrepreneurial Finance, JEF [ISSN:] 1551-9570 [Volume:] 7 [Year:] 2002 [Issue:] 3 [Pages:] 39-51
Abstract:In some modern venture valuation approaches, option pricing theory plays an important role.The aim of this paper is to present some tools and viewpoints which might be helpful for future investigations along this line. We model the value-dynamics Xt of an imbedded underlying X as a non-lognormally-distributed generalization of the geometric Brownian motion. In detail, Xt is supposed to be a solution of a stochastic differential equation of the form dXt = b(Xt ) dt o(t) Xt dWt with non-constant volatility function o(t) and Brownian motion Wt . For this, we discuss a certain decision problem concerning the size of the trend function b . Under some handy-toverify but far-reaching assumptions, we investigate the (average) reduction of decision risk that can be obtained by observing the sample path of X . Furthermore, we also show some connections with the valuation of call options on X .
Document Type:Article
Appears in Collections:Journal of Entrepreneurial Finance

Files in This Item:
File Description SizeFormat
662471830.pdf259.19 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/56001

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.