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Van Tassel, 2016 - Google Patents

Merger options and risk arbitrage

Van Tassel, 2016

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Document ID
15816317588386475659
Author
Van Tassel P
Publication year

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Snippet

Option prices embed predictive content for the outcomes of pending mergers and acquisitions. This is particularly important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that exploits the joint information …
Continue reading at www.econstor.eu (PDF) (other versions)

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