Spanning, valuation and options
نویسندگان
چکیده
منابع مشابه
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 ...
متن کاملmergers 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 di erences...
متن کاملSpanning and Completeness with Options
The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this securit...
متن کاملValuation Bounds of Tranche Options
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default time (JDDT ) from a default time copula. Systemic and idiosyncratic factors beyond the JDDT only contribute a limited amount of pricing uncertainty. The price bounds of tranche option derived from a d...
متن کاملValuation of Performance-Dependent Options
Performance-dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. In this paper, we present a novel approach for the valuation of general performance-dependent options. To this end, we use a multidimensional Black-Scholes model to describe the temporal development of the asset prices. The martingale approach ...
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ژورنال
عنوان ژورنال: Economic Theory
سال: 1991
ISSN: 0938-2259,1432-0479
DOI: 10.1007/bf01210570