We investigate the relation between the fair price for European-style vanilla options and the probability of short-term returns on the underlying asset in the absence of transaction costs. If the asset’s future price has finite expectation, the option’s fair value satisfies a parabolic partial differential equation of the Black-Scholes type in the absence of arbitrage opportunities. However, th...

Privacy is a central concern in the information age. In some circumstances, customers’ decisions whether to use firms’ services rely on the extent of privacy that firms are able to provide, for example, the use of certain banking services, health care information technology [7]...etc. Firms thus face crucial assessment of investment on privacypreserving technologies. Two important factors affec...

We investigate the use of a warrant-pricing approach to incorporate employee stock options (ESOs) into equity valuation and to account for the dilutive effect of ESOs in the valuation of option grants for financial reporting purposes. Our valuation approach accounts for the jointly determined nature of ESO and shareholder values. The empirical results show that our stock price estimate exhibits...

In his paper, Professor Landsman reviews research on both the relevance and reliability of reporting fair values for loans and other financial instruments (Landsman (2005)). Accounting standard setters define fair value as the amount that would be paid or received for the item being valued in an arm’s length transaction between knowledgeable parties. This is a market value definition and the st...

The goal of this paper is to analyse and systematise the possible approaches real options valuation, especially when considering practical aspects their application in real-life valuation problems. Therefore, sets following tasks: To outline concept fair value traditional its calculation context asset define real-option approach estimation theoretical background determine role system techniques...