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Valuation of the Liability Structure by Real Options
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Valuation of the Liability Structure by Real Options
by David Heller
Valuation of the Liability Structure by Real Options
Cover
Title Page
Copyright
Introduction
1 The Utility of Real Options in the Valuation of Liabilities
2 The New Allocation of Company Value Using the Optional Approach
3 Applications of Real Options on Financial Structure Valuation
Conclusion
Appendices
Bibliography
Index
End User License Agreement
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Title Page
Table of Contents
Cover
Title Page
Copyright
Introduction
1 The Utility of Real Options in the Valuation of Liabilities
1.1. Introduction
1.2. Real options: a mitigating alternative to the deficiency of traditional valuation methods
1.3. Intersections between approaches to assets valuation
1.4. Valuation of liabilities structures with real options
1.5. Conclusion
2 The New Allocation of Company Value Using the Optional Approach
2.1. Introduction
2.2. Economic value of debt and systematic risk adjustment of equity
2.3. Integration of organizational problems between shareholders and debtors
2.4. Mechanisms of refinancing debt and the impact on the value of equity
2.5. Conclusion
3 Applications of Real Options on Financial Structure Valuation
3.1. Introduction
3.2. Application to the stock market index of a country: the CAC 40
3.3. Application to a business sector: the cinema industry
Conclusion
Appendices
Appendix 1: Partial Derivatives in the Option Price Equation by Galaï and Masulis (1976)
Appendix 2: Partial Derivatives for Systematic Risk of Company Debt by Galaï and Masulis (1976)
Appendix 3: Partial Derivatives for Systematic Risk of Company Equity by Galaï and Masulis (1976)
Appendix 4: Proof of Inequalities by Galaï and Masulis (1976)
Appendix 5: Partial Derivatives in the Option Price Equation by Bellalah and Jacquillat (1995)
Appendix 6: Characteristics of Companies in the CAC 40
Appendix 7: Valuation of Companies in the CAC 40 Using the Black–Scholes–Merton Method
Appendix 8: Distribution of Debt Relative to the Rate of Recovery (CAC 40)
Appendix 9: F-Equality Test of Variances for Asset and Equity Volatility (CAC 40)
Appendix 10: Equality Test for Projected Asset and Equity Volatility (CAC 40): Two Observations with Equal Variations
Appendix 11: F-Equality Test of Variances for the Growth Potential of Stock Prices Using the DCF and Real Options Methods (CAC 40)
Appendix 12: Equality Test for Projected Potential Growth of Stock Prices Using the DCF and Real Options Methods (CAC 40): Two Observations with Equal Variances
Appendix 13: F-Equality Test of Variances for Debt Ratios Based on an Accounting and Economic Net Debt (CAC 40)
Appendix 14: Equality Test of Projected Debt Ratios Based on an Accounting and Economic Net Debt (CAC 40): Two Observations with Different Variances
Appendix 15: Characteristics of Companies in the Cinema Industry
Appendix 16: Valuation of Companies in the Cinema Industry Using the Black–Scholes–Merton Method
Appendix 17: F-Equality Test of Variances for Asset and Equity Volatility (Cinema)
Appendix 18: Equality Test for Projected Asset and Equity Volatility (Cinema): Two Observations with Equal Variances
Appendix 19: F-Equality Test for Potential Growth of Stock Prices Using the DCF and Real Options Methods (Cinema)
Appendix 20: Equality Test for Projected Potential Growth of Stock Prices Using the DCF and Real Options Methods (Cinema):Two Observations with Different Variances
Appendix 21: F-Equality Test of Variances for Debt Ratios Based on an Accounting and Economic Net Debt (Cinema)
Appendix 22: Equality Test for Projected Debt Ratios Based on an Account and Economic Net Debt (Cinema): Two Observations with Equal Variances
Appendix 23: Significance Test for the Difference Between Two Standard Deviations
Bibliography
Index
End User License Agreement
List of Illustrations
Chapter 1
Figure 1.1.
Purchase of a call
Figure 1.2.
Purchase of a put
Figure 1.3.
Sale of a call
Figure 1.4.
Sale of a put
Chapter 2
Figure 2.1.
Breakdown of a loan payment installment at an intermediary date
Tables
Chapter 1
Table 1.1 Transfer of risk between shareholders and investors without impacting ...
Table 1.2 Analogy between the parameters of real options with reference to liabi...
Table 1.3 Mechanisms impacting the value of financial structure via the real opt...
Table 1.4
Valuation of equity and debt using real options
Chapter 2
Table 2.1
Variables for companies A and B for Galaï and Masulis (1976) analysis
Table 2.2
Value of the company on the maturity date of the financial debt
Chapter 3
Table 3.1
Economic valuation of equity debt using real options
Table 3.2
Sensitivity of the economic value of equity
Table 3.3
Differences between the mean asset and equity volatilities (CAC 40)
Table 3.4 Difference between the mean growth potentials of stock prices using th...
Table 3.5 Difference between the mean debt ratios based on accounting and econom...
Table 3.6
Analysis of the variance (CAC 40)
Table 3.7
Regression coefficient (CAC 40)
Table 3.8
Differences between mean asset and equity volatilities (cinema)
Table 3.9 Difference between the mean growth potentials of stock prices using th...
Table 3.10 Difference between the mean debt ratios based on accounting net and e...
Appendix 6
Table A6.1
Appendix 7
Table A7.1
Appendix 8
Table A8.1
Appendix 9
Table A9.1
Appendix 10
Table A10.1
Appendix 11
Table A11.1
Appendix 12
Table A12.1
Appendix 13
Table A13.1
Appendix 14
Table A14.1
Appendix 15
Table A15.1
Table A15.2
Appendix 16
Table A16.1
Appendix 17
Table A17.1
Appendix 18
Table A18.1
Appendix 19
Table A19.1
Appendix 20
Table A20.1
Appendix 21
Table A21.1
Appendix 22
Table A22.1
Guide
Cover
Contents
Introduction
Begin Reading
Conclusion
Bibliography
Index
End User License Agreement
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