Valuation of Risky Firm Debt as a Put Option Using Option Pricing Methodology

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00009012" target="_blank" >RIV/61989100:27510/03:00009012 - 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

Valuation of Risky Firm Debt as a Put Option Using Option Pricing Methodology

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

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

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

2003

Confidentiality

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

Name of the periodical

ECON 02

ISSN

0862-7908

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

9

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

7

Pages from-to

28-34

UT code for WoS article

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EID of the result in the Scopus database

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