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  • This article presents a framework for risky debt valuation using option pricing metodology known as a Real Option Analysis. The opportunity to liquidate a firm by either equityholders or debtholders can be modeled as a put option and increases the value of the claims. It will be argued, that the claims on the firm´s assets, stocks and bonds, contain a put option that will be exercised by the respective holders whenever the liquidation value exceeds the value of their claim in the surviving firm. The contingent claims model, equityholders` and debtholders` bankruptcy decision is described, at the end of the article some illustrative examples are stated.
  • This article presents a framework for risky debt valuation using option pricing metodology known as a Real Option Analysis. The opportunity to liquidate a firm by either equityholders or debtholders can be modeled as a put option and increases the value of the claims. It will be argued, that the claims on the firm´s assets, stocks and bonds, contain a put option that will be exercised by the respective holders whenever the liquidation value exceeds the value of their claim in the surviving firm. The contingent claims model, equityholders` and debtholders` bankruptcy decision is described, at the end of the article some illustrative examples are stated. (en)
Title
  • Application of Real Options for Pricing Risk Debt as a Put Option
  • Application of Real Options for Pricing Risk Debt as a Put Option (en)
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  • Application of Real Options for Pricing Risk Debt as a Put Option
  • Application of Real Options for Pricing Risk Debt as a Put Option (en)
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  • RIV/61989100:27510/02:00007448!RIV/2004/MSM/275104/N
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  • 1-6
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  • Z(MSM 275100015)
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  • RIV/61989100:27510/02:00007448
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  • put option, debt, equity, Black-Scholes model, bankruptcy, (en)
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  • [A6F11E531074]
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  • Čulík, Miroslav
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  • Vysoké učení technické v Brně
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  • 80-214-2354-4
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  • 27510
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