Information processing with mergers and acquisitions: modeling and empirical analysis of option prices and trade

一个一致的期权定价模型对于市场参与者和风险管理系统非常重要。在金融媒体中，合并和收购(M&A)是一个主要话题；媒体对价值创造和对其成功的预测特别感兴趣；从市场数据中基于模型提取这些参数应该非常有兴趣。除此之外，对交易的分析提供了金融中合适的建模方法的迹象：如果基于观点的建模方法(投资者的有限理性)提高了预测质量，那么这是一个强有力的迹象，表明相对于信息不对称模型(完全理性的投资者)，这种方法更受青睐。并购研究中存在两个主要缺口：第一，并购中期权定价模型的缺失；第二，基于观点差异的交易和定价的整合均衡模型。拟议的研究项目将分两个连续阶段研究这两个差距。该项目具有多个目标。首先，它将进一步发展现有的定价和交易模式。然后使用这些模型来提取并购中不可观测的基本参数(价值产生、成功概率)；为此，将开发适当的数值技术。最后，项目应研究备选方案是否能显著改善对所导出的基本参数的预测；这些经验性研究将主要使用经典的统计技术(描述性统计和回归)。

A consistent option pricing model is very important for market participants and risk-management systems. Within the financial press, mergers and acquisitions (M&A) are a major topic; the press is particularly interested in value generation and predictions about their success; a model-based extraction of these parameters from market data should be of great interest. Beyond this, analyzing trade provides indications about appropriate modeling approaches in finance: if an opinion based modeling approach (limited rationality of investors) improves the quality of predictions, then this is a strong indication to favor this approach over models of information asymmetries (fully rational investors).There are two major gaps in M&A research: first, a missing pricing model for options in M&A; second, an integrated equilibrium model of trading and pricing based on differences of opinion. The proposed research project shall study these two gaps in two consecutive phases.The project has multiple goals. First, it shall develop further existing pricing and trading models. These models shall then be used to extract unobservable fundamental parameters (value generation, success probability) in M&A; for this, appropriate numerical techniques will be developed. Finally, the project shall study if options lead to significant improvements in the predictions of the derived fundamental parameters; these empirical studies will mostly use classic statistical techniques (descriptive statistics and regressions).