Technology-based Startup Valuation Using Real Options with Edgeworth Expansion

Autores
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio
Año de publicación
2013
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
There exists extreme difficulties while trying to valuate, using traditional valuation methods, startup firms which are dedicated to technological development. Among those methods, we could mention the balance sheet-based ones, the relative valuation ones, the cash flow discounting-based ones, and the goodwill-based ones. Those difficulties are the absence of comparable companies, the inexistence of historical data, the complexity to estimate volatility, and the number of intangible assets which give worth to the firm. This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns. Methodologically, we use real options theory adapted through Edgeworth expansion. It allows abandoning the probability of normal distribution assumption incorporating higher moments such us asymmetry and kurtosis. Obtained results let us show how the firm?s value and its strategic options are affected by stochastic higher moments? behavior. These are often not considered because of assuming a normal behavior related to a random path of the underlying assets.
Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
Fil: Pesce, Gabriela. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina
Fil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
Materia
REAL OPTION
TECHNOLOGY-BASED STARTUP
EDGEWORTH EXPANSION
ASYMMETRY
KURTOSIS
FIRM VALUATION
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/102319
Acceder
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network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Technology-based Startup Valuation Using Real Options with Edgeworth ExpansionMilanesi, GastónPesce, GabrielaEl Alabi, EmilioREAL OPTIONTECHNOLOGY-BASED STARTUPEDGEWORTH EXPANSIONASYMMETRYKURTOSISFIRM VALUATIONhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5There exists extreme difficulties while trying to valuate, using traditional valuation methods, startup firms which are dedicated to technological development. Among those methods, we could mention the balance sheet-based ones, the relative valuation ones, the cash flow discounting-based ones, and the goodwill-based ones. Those difficulties are the absence of comparable companies, the inexistence of historical data, the complexity to estimate volatility, and the number of intangible assets which give worth to the firm. This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns. Methodologically, we use real options theory adapted through Edgeworth expansion. It allows abandoning the probability of normal distribution assumption incorporating higher moments such us asymmetry and kurtosis. Obtained results let us show how the firm?s value and its strategic options are affected by stochastic higher moments? behavior. These are often not considered because of assuming a normal behavior related to a random path of the underlying assets.Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; ArgentinaFil: Pesce, Gabriela. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; ArgentinaFil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; ArgentinaScience and Education Publishing2013-10-16info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/102319Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Technology-based Startup Valuation Using Real Options with Edgeworth Expansion; Science and Education Publishing; Journal of Finance and Accounting; 1; 2; 16-10-2013; 54-612333-88492333-8857CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://pubs.sciepub.com/jfa/1/2/3/index.htmlinfo:eu-repo/semantics/altIdentifier/url/http://repositoriodigital.uns.edu.ar/handle/123456789/4264info:eu-repo/semantics/altIdentifier/doi/10.12691/jfa-1-2-3info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:43:36Zoai:ri.conicet.gov.ar:11336/102319instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:43:36.648CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
title Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
spellingShingle Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
Milanesi, Gastón
REAL OPTION
TECHNOLOGY-BASED STARTUP
EDGEWORTH EXPANSION
ASYMMETRY
KURTOSIS
FIRM VALUATION
title_short Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
title_full Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
title_fullStr Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
title_full_unstemmed Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
title_sort Technology-based Startup Valuation Using Real Options with Edgeworth Expansion
dc.creator.none.fl_str_mv Milanesi, Gastón
Pesce, Gabriela
El Alabi, Emilio
author Milanesi, Gastón
author_facet Milanesi, Gastón
Pesce, Gabriela
El Alabi, Emilio
author_role author
author2 Pesce, Gabriela
El Alabi, Emilio
author2_role author
author
dc.subject.none.fl_str_mv REAL OPTION
TECHNOLOGY-BASED STARTUP
EDGEWORTH EXPANSION
ASYMMETRY
KURTOSIS
FIRM VALUATION
topic REAL OPTION
TECHNOLOGY-BASED STARTUP
EDGEWORTH EXPANSION
ASYMMETRY
KURTOSIS
FIRM VALUATION
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv There exists extreme difficulties while trying to valuate, using traditional valuation methods, startup firms which are dedicated to technological development. Among those methods, we could mention the balance sheet-based ones, the relative valuation ones, the cash flow discounting-based ones, and the goodwill-based ones. Those difficulties are the absence of comparable companies, the inexistence of historical data, the complexity to estimate volatility, and the number of intangible assets which give worth to the firm. This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns. Methodologically, we use real options theory adapted through Edgeworth expansion. It allows abandoning the probability of normal distribution assumption incorporating higher moments such us asymmetry and kurtosis. Obtained results let us show how the firm?s value and its strategic options are affected by stochastic higher moments? behavior. These are often not considered because of assuming a normal behavior related to a random path of the underlying assets.
Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
Fil: Pesce, Gabriela. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina
Fil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
description There exists extreme difficulties while trying to valuate, using traditional valuation methods, startup firms which are dedicated to technological development. Among those methods, we could mention the balance sheet-based ones, the relative valuation ones, the cash flow discounting-based ones, and the goodwill-based ones. Those difficulties are the absence of comparable companies, the inexistence of historical data, the complexity to estimate volatility, and the number of intangible assets which give worth to the firm. This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns. Methodologically, we use real options theory adapted through Edgeworth expansion. It allows abandoning the probability of normal distribution assumption incorporating higher moments such us asymmetry and kurtosis. Obtained results let us show how the firm?s value and its strategic options are affected by stochastic higher moments? behavior. These are often not considered because of assuming a normal behavior related to a random path of the underlying assets.
publishDate 2013
dc.date.none.fl_str_mv 2013-10-16
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/102319
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Technology-based Startup Valuation Using Real Options with Edgeworth Expansion; Science and Education Publishing; Journal of Finance and Accounting; 1; 2; 16-10-2013; 54-61
2333-8849
2333-8857
CONICET Digital
CONICET
url http://hdl.handle.net/11336/102319
identifier_str_mv Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Technology-based Startup Valuation Using Real Options with Edgeworth Expansion; Science and Education Publishing; Journal of Finance and Accounting; 1; 2; 16-10-2013; 54-61
2333-8849
2333-8857
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://pubs.sciepub.com/jfa/1/2/3/index.html
info:eu-repo/semantics/altIdentifier/url/http://repositoriodigital.uns.edu.ar/handle/123456789/4264
info:eu-repo/semantics/altIdentifier/doi/10.12691/jfa-1-2-3
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Science and Education Publishing
publisher.none.fl_str_mv Science and Education Publishing
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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