modifying the black-scholes model to valuate preemption right

نویسندگان

giorgio consigli

university of bergamo, italy f. rahnamay roodposhti

islamic azad university, tehran amin babaei falah

islamic azad university, tehran

چکیده

in this paper, we try and valuate preemption rights by modifying the black-scholes model, which is widely used to valuate options and other derivatives. here we first present the basics of the black-scholes model and then we discus modification of the model to be fit for preemption right valuation. at the end, we valuate four of the preemptive rights using the proposed model

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عنوان ژورنال:
international journal of finance and managerial accounting

جلد ۱، شماره ۱، صفحات ۱-۵

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