Country risk, country risk indices and valuation of FDI: a real options approach

Mergers and market valuation: real options approach

This paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. I solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences ...

A Comparison of Managers' Uncertainty Perceptions and Country Risk Indices

A Simple Approach to Country Risk

The No-Arbitrage model by Schonbucher [30] is combined with the Extended Vasicek Term Structure Model and applied to the pricing of DM-Eurobonds issued by sovereigns from emerging economies. Practical hedging according to the model is investigated. A portfolio of DM-Eurobonds is analyzed using the risk measures "Shortfall" and "Value at Risk".

mergers and market valuation: real options approach

this paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. i solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences...

A Model Robust Real Options Valuation Methodology Incorporating Climate Risk

We propose a simple generalization of the Brennan-Schwartz approach to real option valuation of a mining project that incorporates disaster risk using a Poisson point process to model arrivals. Using techniques from the field of robust performance analysis, we are able to calculate upper and lower bounds over all the probability models within a certain distance from the original model. We sugge...