The Application of Pricing Method for Real Option in Mergers and Acquisitions

被引：0

作者：

Wang Xiaoli ^{[1
]}

机构：

[1] Changchun Taxat Coll, Res Inst Econ Simulat, Changchun, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

Fluctuation rate; GARCH (1,1) model; Black-Scholes pricing method for real option;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Pricing theory for real option is used to evaluate the business in Mergers and Acquisitions in our proposal. Comparing with the method using variance of underlying asset price as the fluctuation rate, our proposal, using GARCH (1,1) model to predict fluctuation rate, is able to greatly improve the pricing accuracy for real option. It is shown that our proposal is more suitable for decision-making in Mergers and Acquisitions.

引用

页码：4024 / 4026

页数：3