Option Prices and the Probability of Success of Cash Mergers
研究了现金并购中目标公司期权价格与并购成功概率的关系，用MCMC方法估计成功概率，发现该概率能预测并购结果，且隐含波动率在要约价处有折点。
Abstract We study both theoretically and empirically option prices on firms undergoing a cash merger offer. To estimate the merger’s success probability, we use a Markov Chain Monte Carlo (MCMC) method using a state space representation of our model. Our estimated probability measure has significant predictive power for the merger outcome even after controlling for variables used in the merger literature. As predicted by the model, a graph of the target firm’s implied volatility against the strike price has a kink at the offer price, and the kink’s magnitude is proportional to the merger’s success probability.