Spectral Methods and Pricing Options on Private Equity

Over the past several years, researchers in economics and finance have used spectral methods to determine the structure of the stochastic discount factor. In this paper, we show that spectral methods can also be used to value an option on private equity. We show that the volatility of the equity is uniquely determined by the specification of a risk-neutral stochastic process for dividend yields along with the solution of a Sturm Liouville problem

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Year of publication:	2015
Authors:	Carr, Peter
Other Persons:	Worah, Pratik (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Private Equity \| Private equity \| Optionspreistheorie \| Option pricing theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 29, 2015 erstellt
Other identifiers:	10.2139/ssrn.2600684 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013023519