منابع مشابه
Option Pricing on Cash Mergers
When a cash merger is announced but not completed, there are two main sources of uncertainty related to the target company: the probability of success and the price conditional on the deal failing. We propose an arbitrage-free option pricing formula that focuses on these sources of uncertainty. We test our formula in a study of all cash mergers between 1996 and 2008 which have sufficiently liqu...
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In this article, we consider an infinite horizon, single product economic order quantity where demand and deterioration rate are continuous and differentiable function of price and time, respectively. In addition, we allow for shortages and completely backlogged. The objective is to find the optimal inventory and pricing strategies maximizing the net present value of total profit over the infin...
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We consider optimal hedging decisions for a firm whose stock returns are affected by market returns and an idiosyncratic factor that is orthogonal to the market return. We show that the level of firm’s cash flows depend on the level of the market and the level of the idiosyncratic factor multiplicatively because of compounding. Minimizing the variance of the cash flow requires a substantial off...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1269451