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Valuation Model

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Financial Pricing Models in Continuous Time and Kalman Filtering

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 506))

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Abstract

The capital markets for closed-end funds provide two important prices for financial analysis: The market value of the closed-end funds’ shares as determined on organized exchanges, and the net asset value of their foreign assets which is reported by the investment companies.

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References

  1. The net asset value and the market price are generally stated per share.

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  2. Negative empirical premia correspond to the case of closed-end funds trading at discounts.

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  3. For the detailed description of the data set see section 8.1 on page 55.

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  4. Further information on the empirical premia of our sample is provided in table 8.2 on page 58.

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  5. For example, Chen, Kan, and Miller (1993) find that 72.8 percent is explained by the net asset value variance on a closed-end fund sample covering the period from 1965 to 1985.

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  6. A stochastic process corresponding to an exponential growth of the state variable which is a widespread asset pricing assumption for modeling equities in financial economics.

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  7. Specifically, see the description on page 61 for this relationship.

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  8. See, for example, Merton (1992).

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  9. See, for example, Ingersoll (1987).

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  10. The two market prices of risk, λ X and λ π , are treated as constants in our model.

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  11. According to the nomenclature of Lee, Shleifer, and Thaler (1991).

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  12. This type of solution is known from interest rate modeling; see, for example, Duffie and Kan (1996).

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Authors and Affiliations

  1. Gesellschaft für Wertpapieranlagen mbH, Deutscher Investment-Trust, Mainzer Landstraße 11-13, 60329, Frankfurt am Main, Germany

    Dr. B. Philipp Kellerhals

Authors
  1. Dr. B. Philipp Kellerhals
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© 2001 Springer-Verlag Berlin Heidelberg

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Kellerhals, B.P. (2001). Valuation Model. In: Financial Pricing Models in Continuous Time and Kalman Filtering. Lecture Notes in Economics and Mathematical Systems, vol 506. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-21901-0_7

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  • DOI: https://doi.org/10.1007/978-3-662-21901-0_7

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-42364-5

  • Online ISBN: 978-3-662-21901-0

  • eBook Packages: Springer Book Archive

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