Karl, Sabine; Fischer, Tom - In: Quantitative Finance 14 (2014) 6, pp. 1031-1046
Based on the work of Suzuki, we consider a generalization of Merton's asset valuation approach in which two firms are linked by cross-ownership of equity and liabilities. Suzuki's results then provide no arbitrage prices of firm values, which are derivatives of exogenous asset values. In...