Application of Real Options for Pricing Risk Debt as a Put Option

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00007448" target="_blank" >RIV/61989100:27510/02:00007448 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Application of Real Options for Pricing Risk Debt as a Put Option

Original language description

This article presents a framework for risky debt valuation using option pricing metodology known as a Real Option Analysis. The opportunity to liquidate a firm by either equityholders or debtholders can be modeled as a put option and increases the valueof the claims. It will be argued, that the claims on the firm´s assets, stocks and bonds, contain a put option that will be exercised by the respective holders whenever the liquidation value exceeds the value of their claim in the surviving firm. The contingent claims model, equityholders` and debtholders` bankruptcy decision is described, at the end of the article some illustrative examples are stated.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2002

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Nové trendy rozvoje průmyslu

ISBN

80-214-2354-4

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

1-6

Publisher name

VUT Brno

Place of publication

Brno

Event location

Brno

Event date

Dec 4, 2002

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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