Option Pricing on Stocks in Mergers and Acquisitions
构建了一个无套利且完备的框架，用于定价并购交易中涉及的公司股票期权，考虑了交易可能中途取消导致股价不连续冲击的情况，测试表明该模型比Black-Scholes模型更能解释实际期权价格。
ABSTRACT We develop an arbitrage‐free and complete framework to price options on the stocks of firms involved in a merger or acquisition deal allowing for the possibility that the deal might be called off at an intermediate time, creating discontinuous impacts on the stock prices. Our model can be a normative tool for market makers to quote prices for options on stocks involved in such deals and also for traders to control risks associated with such deals using traded options. The results of tests indicate that the model performs significantly better than the Black–Scholes model in explaining observed option prices.