DocumentCode
2382418
Title
Pricing stock options in mergers and acquisitions with jump-diffusion model
Author
Lu, Chaoxiao ; Yau, Stephen
Author_Institution
Dept. of Math., Univ. of Illinois at Chicago, Chicago, IL
fYear
2008
fDate
11-13 June 2008
Firstpage
1008
Lastpage
1012
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.
Keywords
corporate acquisitions; pricing; risk management; share prices; jump-diffusion model; merger deals; mergers and acquisitions; observed option prices; pricing stock options; Brownian motion; Chaos; Corporate acquisitions; Electric breakdown; Filtration; IEEE news; Performance evaluation; Pricing; Random variables; Testing; jump diffusion; mergers and acquisitions; option pricing; risk arbitrage;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 2008
Conference_Location
Seattle, WA
ISSN
0743-1619
Print_ISBN
978-1-4244-2078-0
Electronic_ISBN
0743-1619
Type
conf
DOI
10.1109/ACC.2008.4586623
Filename
4586623
Link To Document