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Are you up to speed on the new developments in the forward-starting put option model? Dispel confusion and common misconceptions as Stillian Ghaidarov walks you through a methodology for the application of put option models. Compare with other put option models commonly used to quantify illiquidity discounts. Join this session to strengthen your conceptual understanding of the theoretical framework behind these models and gain deeper insights about their relative strengths and weaknesses. Learn how to apply the model of your choice to dividend-paying securities in a manner that produces internally consistent results. Take your knowledge to the highest level with this top tier session.
Program Agenda
Put Option Models for Quantifying Illiquidity Discount: Theoretical Framework
Key assumptions underlying all models
Common misconceptions
Review of Commonly Used Put Option Models (No Dividends Case)
Protective Put Option
Conceptual framework
Numerical performance
Lookback Put Option
Conceptual framework
Numerical performance
Average-Strike Put Option
Conceptual framework
Analytical Issues and Different Formulas
Numerical performance
Forward-Starting Put Option
Conceptual framework
Numerical performance
Summary Comparison
Quantifying Illiquidity Discounts for Dividend-Paying Stocks
Examples
Learning Objectives
Be able to describe the conceptual framework and key assumptions common to all put option models used to quantify illiquidity discounts
Gain an understanding of the theoretical differences between the various put option models and the corresponding analytical issues faced by practitioners
Learn a new methodology for applying put option models to dividend-paying stocks that produces internally consistent results in all circumstances
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