Valuation of the Liability Structure by Real Options

Table of contents

1. Cover
2. Title Page
3. Copyright
4. Introduction
5. 1 The Utility of Real Options in the Valuation of Liabilities
   1. 1.1. Introduction
   2. 1.2. Real options: a mitigating alternative to the deficiency of traditional valuation methods
   3. 1.3. Intersections between approaches to assets valuation
   4. 1.4. Valuation of liabilities structures with real options
   5. 1.5. Conclusion
6. 2 The New Allocation of Company Value Using the Optional Approach
   1. 2.1. Introduction
   2. 2.2. Economic value of debt and systematic risk adjustment of equity
   3. 2.3. Integration of organizational problems between shareholders and debtors
   4. 2.4. Mechanisms of refinancing debt and the impact on the value of equity
   5. 2.5. Conclusion
7. 3 Applications of Real Options on Financial Structure Valuation
   1. 3.1. Introduction
   2. 3.2. Application to the stock market index of a country: the CAC 40
   3. 3.3. Application to a business sector: the cinema industry
8. Conclusion
9. Appendices
   1. Appendix 1: Partial Derivatives in the Option Price Equation by Galaï and Masulis (1976)
   2. Appendix 2: Partial Derivatives for Systematic Risk of Company Debt by Galaï and Masulis (1976)
   3. Appendix 3: Partial Derivatives for Systematic Risk of Company Equity by Galaï and Masulis (1976)
   4. Appendix 4: Proof of Inequalities by Galaï and Masulis (1976)
   5. Appendix 5: Partial Derivatives in the Option Price Equation by Bellalah and Jacquillat (1995)
   6. Appendix 6: Characteristics of Companies in the CAC 40
   7. Appendix 7: Valuation of Companies in the CAC 40 Using the Black–Scholes–Merton Method
   8. Appendix 8: Distribution of Debt Relative to the Rate of Recovery (CAC 40)
   9. Appendix 9: F-Equality Test of Variances for Asset and Equity Volatility (CAC 40)
   10. Appendix 10: Equality Test for Projected Asset and Equity Volatility (CAC 40): Two Observations with Equal Variations
   11. Appendix 11: F-Equality Test of Variances for the Growth Potential of Stock Prices Using the DCF and Real Options Methods (CAC 40)
   12. 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
   13. Appendix 13: F-Equality Test of Variances for Debt Ratios Based on an Accounting and Economic Net Debt (CAC 40)
   14. Appendix 14: Equality Test of Projected Debt Ratios Based on an Accounting and Economic Net Debt (CAC 40): Two Observations with Different Variances
   15. Appendix 15: Characteristics of Companies in the Cinema Industry
   16. Appendix 16: Valuation of Companies in the Cinema Industry Using the Black–Scholes–Merton Method
   17. Appendix 17: F-Equality Test of Variances for Asset and Equity Volatility (Cinema)
   18. Appendix 18: Equality Test for Projected Asset and Equity Volatility (Cinema): Two Observations with Equal Variances
   19. Appendix 19: F-Equality Test for Potential Growth of Stock Prices Using the DCF and Real Options Methods (Cinema)
   20. Appendix 20: Equality Test for Projected Potential Growth of Stock Prices Using the DCF and Real Options Methods (Cinema):Two Observations with Different Variances
   21. Appendix 21: F-Equality Test of Variances for Debt Ratios Based on an Accounting and Economic Net Debt (Cinema)
   22. Appendix 22: Equality Test for Projected Debt Ratios Based on an Account and Economic Net Debt (Cinema): Two Observations with Equal Variances
   23. Appendix 23: Significance Test for the Difference Between Two Standard Deviations
10. Bibliography
11. Index
12. End User License Agreement