haku: @indexterm EQUITY CAPITAL / yhteensä: 240
viite: 68 / 240
| Tekijä: | Fischer, E. Keber, C. |
| Otsikko: | Die Bewertung von Beteiligungsgarantien zur Förderung von Risikokapital |
| Lehti: | Zeitschrift für Betriebswirtschaft
1999 : ERGÄNZUNGSHEFT 3, p. 131-150 |
| Asiasana: | EQUITY CAPITAL GUARANTEES FINANCE STOCK OPTIONS |
| Kieli: | ger |
| Tiivistelmä: | From the viewpoint of finance guarantees can be interpreted as put options. Therefore the value of equity guarantees is usually determined by means of the traditional Black/Scholes Merton-model for the pricing of put options on stocks. We, however, argue that this implicitly assumes that the equity can never be worthless. Since the maturity of equity guaran- tees is usually ten years we think it is inappropriate to exclude the possibility of bankruptcy. Hence, this paper presents a model for the pricing of guarantees on equity with default risk. Furthermore, this paper contains sensiti- vity analyses for the inferred premium rates in relation to the determining factors and the guarantee will be broken down into two individual guarantees as part of a financial engineering proces. |
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