Victor Hugo Martinez

Baruch College, City University of New York, Department of Economics and Finance

Assistant Professor of Finance

55 Lexington Avenue

New York, NY 10010

United States

http://faculty.baruch.cuny.edu/vmartinez

  • Baruch College, City University of New York, Department of Economics and Finance

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Option Prices and the Probability of Success of Cash Mergers

Journal of Financial Econometrics, forthcoming, HEC Paris Research Paper No. FIN-2017-1213
Number of pages: 56 Posted: 20 Mar 2009 Last Revised: 12 Apr 2021
Alan Bester, Victor Hugo Martinez and Ioanid Rosu
University of Chicago Graduate School of Business, Baruch College, City University of New York, Department of Economics and Finance and HEC Paris - Finance Department
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Citation 6

Abstract:

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Mergers and acquisitions, Black and Scholes formula, success probability, fallback price, Markov Chain Monte Carlo, implied volatility curve, volatility smile