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Battauz Anna De Donno Marzia Gajda Janusz Sbuelz Alessandro 《Review of Derivatives Research》2022,25(1):23-46
Review of Derivatives Research - The critical price $$S^{*}\left( t\right) $$ of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide... 相似文献
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Anna Battauz Stefano Gatti Annalisa Prencipe Luca Viarengo 《European Financial Management》2021,27(5):981-1024
Earnout agreements link part of the payment for an acquired company to its future performance. Despite their option-like features, they cannot be valued using vanilla option-pricing methods. Two peculiar sources of risk affect these contracts: Bidder default before the earnout expiration (default risk) and potential litigation associated with earnouts (litigation risk). We developed an option-pricing model that encompasses these sources of risk, showing that counterparty and litigation risk can have a remarkable impact on earnout values. Our model's relevance is further enhanced by recent accounting standards that require contingent payments to be valued at fair value. 相似文献
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Anna Battauz Marzia De Donno Alessandro Sbuelz 《Decisions in Economics and Finance》2017,40(1-2):31-52
We study the optimal dynamic portfolio exposure to predictable default risk, taking inspiration from the search for yield by means of defaultable assets observed before the 2007–2008 crisis and in its aftermath. Under no arbitrage, default risk is compensated by an ‘yield pickup’ that can strongly attract aggressive investors via an investment-horizon effect in their optimal non-myopic portfolios. We show it by stating the optimal dynamic portfolio problem of Kim and Omberg (Rev Financ Stud 9:141–161, 1996) for a defaultable risky asset and by rigorously proving the existence of nirvana-type solutions. We achieve such a contribution to the portfolio optimization literature by means of a careful, closed-form-yielding adaptation to our defaultable asset setting of the general convex duality approach of Kramkov and Schachermayer (Ann Appl Probab 9(3):904–950, 1999; Ann Appl Probab 13(4):1504–1516, 2003). 相似文献
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Michela Battauz 《Statistica Neerlandica》2015,69(2):85-101
Knowing the effect of the factors that can influence the variability of the equating coefficients is an important tool for the development of the linkage plans. This paper explores the effect of various factors on the variability of item response theory equating coefficients. The factors studied are the sample size, the number of common items, the length of the chain, and the possibility of averaging the equating transformations related to different paths that connect the same two forms. Both asymptotic and simulations results are provided. 相似文献
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We show that in event-tree security markets dynamic completeness does not coincide with one-period completeness unless the law of one price is explicitely assumed. We do so by means of a simple example of a dynamically complete market with an incomplete one-period sub-market. 相似文献
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If the average risk-adjusted growth rate of the project's present value V overcomes the discount rate but is dominated by the average risk-adjusted growth rate of the cost I of entering the project, a non-standard double continuation region can arise: The firm waits to invest in the project if V is insufficiently above I as well as if V is comfortably above I. Under a framework with diffusive uncertainty, we give exact characterization to the value of the option to invest, to the structure of the double continuation region, and to the subset of the primitives' values that support such a region. 相似文献
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