Option Pricing Models in Early Stage Valuation: Practical Insights
BVR's Special Series on Fair Value
Thursday, October 28, 2021
10:00am-11:40am PT • 1:00pm-2:40pm ET
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- Introduction: Overview of valuation approaches for early-stage companies under the fair value standard (ASC 820/IFRS 13).
- Black-Scholes-Merton OPM as it applies to early-stage companies: Key inputs and valuation challenges.
- BSM OPM v. binominal OPM v. Monte Carlo simulation: How to choose?
- Case Study 1: Sample OPM application to the valuation of preferred stock in a complex capital structure.
- Participation and dividend rights in a BSM OPM.
- Case Study 2: Valuing convertible bonds under the BSM OPM method.
- Case Study 3: Delta partition analysis to estimate common and preferred stock volatility.
- Develop and interpret an option pricing model under the backsolve method for an ESE with a complex capital structure;
- Demonstrate how participation and dividend rights affect the valuation of preferred and common stock in an OPM model;
- Apply delta partition analysis to estimate volatility for specific classes/series of equity interests in a complex capital structure; and
- Discuss the advantages/limitations of the Black-Scholes Merton OPM model as compared to binomial OPM and Monte Carlo simulation in the valuation of early-stage companies.
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