Option prices and the probability of success of cash mergers
Year of publication: |
2023
|
---|---|
Authors: | Bester, C. Alan ; Martinez, Victor H. ; Roşu, Ioanid |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 1, p. 145-186
|
Subject: | Black and Scholes formula | fallback price | implied volatility curve | Markov ChainMonte Carlo | mergers and acquisitions | success probability | volatility smile | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Übernahme | Takeover | Fusion | Merger | Black-Scholes-Modell | Black-Scholes model |
-
Cash mergers and the volatility smile
Bester, C. Alan, (2018)
-
Delta hedging bitcoin options with a smile
Alexander, Carol, (2023)
-
Valuation of barrier options in a Black-Scholes setup with jump risk
Leisen, Dietmar, (1999)
- More ...
-
Cash mergers and the volatility smile
Bester, C. Alan, (2018)
-
A dynamic model of the limit order book
Roşu, Ioanid, (2009)
-
Foucault, Thierry, (2016)
- More ...