Modifying the Black-Scholes model to valuate preemption right

نویسندگان
Consigli, Giorgio ID 1
Babaei Falah, Amin ID 2
Rahnamay Roodposhti, F. ID 3

1 University of Bergamo, Italy

2 Islamic Azad University, Tehran

3 Islamic Azad University, Tehran

doi
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

کلیدواژه‌ها
Modified Black-Scholes Model, Valuation, preemptive right, Derivatives