Practical Applications of The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate
Rajna Gibson Brandon, Martin Hoesli and Jiajun Shan
Practical Applications DOI: https://doi.org/10.3905/pa.2022.jaipa060
Rajna Gibson Brandon
is a professor in the Geneva Finance Research Institute at the University of Geneva in Geneva, Switzerland
Martin Hoesli
is a professor in the Geneva Finance Research Institute at the University of Geneva in Geneva, Switzerland and at the University of Aberdeen Business School at King’s College in Aberdeen, UK
Jiajun Shan
is a PhD candidate in the Department of Statistics at the Geneva School of Economics and Management, University of Geneva in Geneva, Switzerland
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Practical Applications of The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate
Rajna Gibson Brandon, Martin Hoesli, Jiajun Shan
Practical Applications Jul 2022, DOI: 10.3905/pa.2022.jaipa060
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- Article
- Abstract
- Overview
- Practical Applications
- Key Definitions
- Discussion
- THE UNDERLYING ASSET VALUE PATH OF THE COMPOUND CALL OPTION MODEL
- THE COMPOUND OPTION MODEL AND ILLUSTRATIVE ASSUMPTIONS
- NPV RULE AND OPTION MODEL EXERCISE BOUNDARY
- NEGATIVE JUMP INTENSITY
- THE CONVENIENCE YIELD
- THE VALUE OF THE OPTION AS A FEE
- PRACTICAL CONSIDERATIONS
- References
- Rajna Gibson Brandon
- Martin Hoesli
- Jiajun Shan
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