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Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

intrinsic value of the common stocks. Traditional valuation models based on the present value of future cash flows are affected … opportunities they have to expand traditional analysis with option valuation. …

Persistent link: https://www.econbiz.de/10009787042

An improved valuation model for technology companies

Doffou, Ako - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 162-176

illustrated in the valuation of Google, Amazon, eBay, Facebook and Yahoo. The improved model is far superior to the Schwartz and …

Persistent link: https://www.econbiz.de/10011308457

The valuation of iIlliquid assets : a focus on private equity and real estate

Gibson, Rajna; Hoesli, Martin; Shan, Jiajun - 2022

and real estate. We discuss the traditional valuation methods, in particular the net present value (NPV) rule, and show in … what circumstances these can lead to suboptimal investment decisions. Emphasis is placed on a real option valuation … bound in a competitive market and the real option exercise criteria and valuation models as providing the upper bound to …

Persistent link: https://www.econbiz.de/10013168778

Merger Options and Risk Arbitrage

Van Tassel, Peter - 2017

Option prices embed predictive content for the outcomes of pending mergers and acquisitions. This is particularly important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that exploits the joint information in target stock and option...

Persistent link: https://www.econbiz.de/10012970252

On the Pricing and Early Call of American and Bermudan Callable Bonds

Debon, Maxime - 2012

This paper reconsiders American and Bermudan callable bonds and highlights their key differences. We illustrate how the level of interest rate critical for calling Bermudan Callable Bonds (BCBs) can differ from those critical for calling American Callable Bonds (ACBs). We also stress that it is...

Persistent link: https://www.econbiz.de/10013105026

The Option Pricing Model and the Risk Factor of Stock

Galai, Dan - 2009

In this paper a joint capital asset pricing model and option pricing model is considered and applied to the derivation of an equity's value and its systematic risk. We first analyze the propreties of the two models and present some newly found properties of the option pricing model. We then...

Persistent link: https://www.econbiz.de/10013155861

Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration

Burgess, Nicholas - 2018

In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...

Persistent link: https://www.econbiz.de/10012925163

Merger options and risk arbitrage

Van Tassel, Peter - 2016

Persistent link: https://www.econbiz.de/10011413251

Exchange Options in the REIT Industry

Sebehela, Tumellano - 2020

This article models mergers as exchange options where acquirers offer stocks and/or cash to target firms in exchange of acquiring some shareholding in target firms. Mergers analysed in this article happen between homogeneous entities. The B-S and Margrabe models are used to price cash and stocks...

Persistent link: https://www.econbiz.de/10012855910

Simple valuation of electric utilities : a comparison of the residual income model and a real options approach

Kjærland, Frode - In: Investment management and financial innovations 13 (2016) 2, pp. 53-64

Persistent link: https://www.econbiz.de/10011647572