Modifying the Black-Scholes model to valuate preemption right

Consigli, Giorgio; Rahnamay Roodposhti, F.; Babaei Falah, Amin

Modifying the Black-Scholes model to valuate preemption right

Document Type : Original Article

Authors

¹ University of Bergamo, Italy

² Islamic Azad University, Tehran

Abstract

In this paper, we try and valuate preemption rights by modifying the Black-Scholes model, which is widely used to valuate options and other derivatives. Here we first present the basics of the Black-Scholes model and then we discus modification of the model to be fit for preemption right valuation. At the end, we valuate four of the preemptive rights using the proposed model

Keywords

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