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EnglishAssets or liabilities with stochastic cash-flows possibly embedding minimum guarantees, in the Economic/Real Capital of the merging companies, represent additional values with respect to the traditional balance sheet, which could induce important differences in exchange ratios. This paper concerns a quantitative model for exchange ratios accounting, firstly introducing a stochastic pricing model in the presence of stochastic cash-flows and secondly representing contractual embedded real option such as minimum guarantees, in order to evaluate the differences in exchange ratios induced by Stochastic Capital Reserves in the merging companies.
| Titolo: | Exchange ratios in a Merger with Stochastic Capital Reserves: Fair Valuation and Embedded Options |
| Autori: | |
| Data di pubblicazione: | 2008 |
| Rivista: | |
| Abstract: | Assets or liabilities with stochastic cash-flows possibly embedding minimum guarantees, in the Economic/Real Capital of the merging companies, represent additional values with respect to the traditional balance sheet, which could induce important differences in exchange ratios. This paper concerns a quantitative model for exchange ratios accounting, firstly introducing a stochastic pricing model in the presence of stochastic cash-flows and secondly representing contractual embedded real option such as minimum guarantees, in order to evaluate the differences in exchange ratios induced by Stochastic Capital Reserves in the merging companies. |
| Handle: | http://hdl.handle.net/11562/229717 |
| Appare nelle tipologie: | 01.01 Articolo in Rivista |
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