Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk

Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk

Bibliographic Details
Main Author: Kang, Zhuang
Language:English
Published: University of Cincinnati / OhioLINK 2010
Subjects:
Mathematics
indifference pricing
illiquid derivative
consistent pricing
equity valuation
interest rate risk
fundamental matrix of derivative pricing
Online Access:http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157
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spelling ndltd-OhioLink-oai-etd.ohiolink.edu-ucin12821681572021-08-03T06:14:20Z Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk Kang, Zhuang Mathematics indifference pricing illiquid derivative consistent pricing equity valuation interest rate risk fundamental matrix of derivative pricing <p>Based on the Merton's problem and the concept of indifference pricing methodology, the author develops a pair of uncoupled partial differential equations to find the fair price of a single illiquid financial security. The equations are developed by two different methods, and the results are consistent. Furthermore, a vector indifference pricing framework is conjectured for multiple securities valuation. The pricing method is applied on financial contract that could not be traded during valuation period and the liquidity premium is revealed. Especially, this method could be applied on private equity valuation problem.</p><p>Another pricing equation using the concept of consistent pricing is also developed in this paper. Moreover by applying variable transformation technique on the Basic Equity Model, an integral from solution is found on the public equity valuation problem under interest rate risk.</p> 2010-11-01 English text University of Cincinnati / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157 http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws.
collection NDLTD
language English
sources NDLTD
topic Mathematics
indifference pricing
illiquid derivative
consistent pricing
equity valuation
interest rate risk
fundamental matrix of derivative pricing
spellingShingle Mathematics
indifference pricing
illiquid derivative
consistent pricing
equity valuation
interest rate risk
fundamental matrix of derivative pricing
Kang, Zhuang
Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
author Kang, Zhuang
author_facet Kang, Zhuang
author_sort Kang, Zhuang
title Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
title_short Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
title_full Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
title_fullStr Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
title_full_unstemmed Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk
title_sort illiquid derivative pricing and equity valuation under interest rate risk
publisher University of Cincinnati / OhioLINK
publishDate 2010
url http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157
work_keys_str_mv AT kangzhuang illiquidderivativepricingandequityvaluationunderinterestraterisk
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