Paper Info
Title
Pricing stock options in mergers and acquisitions with jump-diffusion model
Abstract
We develop a jump-diffusion model to price options on the stocks involved in mergers and acquisitions. The test results indicate that our model performs well in explaining observed option prices. The model can be used by risk arbitrageurs to control risks associated with merger deals using options.
Year
DOI
Venue
2008
10.1109/ACC.2008.4586623
Seattle, WA
Keywords
DocType
Volume
merger deals,jump-diffusion model,observed option prices,risk arbitrage,option pricing,share prices,mergers and acquisitions,corporate acquisitions,risk management,pricing stock options,pricing,jump diffusion,brownian motion,random variables,testing,mathematics,filtration
Conference
null
Issue
ISSN
ISBN
null
0743-1619 E-ISBN : 978-1-4244-2079-7
978-1-4244-2079-7
Citations 
PageRank 
References 
0
0.34
0
Authors
2
Name
Order
Citations
PageRank
Chaoxiao Lu100.34
Stephen S Yau21768193.24