TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market with...

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Veröffentlicht in:	Mathematical finance 1995-04, Vol.5 (2), p.97-119
Hauptverfasser:	Dermody, Jaime Cuevas, Rockafellar, R. Tyrrell
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Cash flow Cash stream valuation directional derivative Economic models Linear programming no-arbitrage equilibrium Portfolio adjustment Portfolio investments Tax basis tax effects Taxes term structure transaction costs Valuation valuation operator
Online-Zugang:	Volltext
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