Using Exchange Options in the Valuation of Convertible Preferred Shares

23 Pages Posted: 23 Apr 2015  

Vigen Babkenovich Minasyan

Russian Presidential Academy of National Economy and Public Administration

Alexander Tai

Russian Presidential Academy of National Economy and Public Administration (RANEPA)

Date Written: April 17, 2015

Abstract

There is a set of corporate situations, when there is an exchange of one asset for another, for example, the offer on an exchange of corporate securities. Special case of such offer is the exchange the preferred share which are available for the company on ordinary share. Application of models estimates of options for an exchange of assets gives to the companies and investors the tool of the fundamental analysis of such situations. In this paper offered the methodology of application of an option for an exchange of assets to an assessment of an exchange of the preferred shares of the company on ordinary.

Keywords: exchange option, preferred share, ordinary share, Margrabe exchange option value model, binomial exchange option valuation model, valuation of convertible preferred shares

JEL Classification: G11, G12, G13, G14, G32

Suggested Citation

Minasyan, Vigen Babkenovich and Tai, Alexander, Using Exchange Options in the Valuation of Convertible Preferred Shares (April 17, 2015). Available at SSRN: https://ssrn.com/abstract=2595631 or http://dx.doi.org/10.2139/ssrn.2595631

Vigen Babkenovich Minasyan (Contact Author)

Russian Presidential Academy of National Economy and Public Administration ( email )

Varnadskogo Avenue,82
Moscow, 119571
Russia

Alexander Victorovitch Tai

Russian Presidential Academy of National Economy and Public Administration (RANEPA) ( email )

Vernadskogo Prospect 82
Moscow, 119571
Russia

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