Date: Thursday, October 25, 2018
10:00am-11:40am PT / 1:00pm-2:40pm ET
Format: A BVR Webinar

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Featuring  (click image for bio)

John P. Sawyer
Alvarez & Marsal
Enrique E. Robles
Alvarez & Marsal

About This Program

Lattice models, typically binomial lattice models, are utilized for the valuation of more complex equity and debt securities that cannot be valued using a closed-form solution (such as the Black-Scholes-Merton option pricing model); however, the modeling and selection of appropriate methodology present many challenges. In this webinar, Dave Duffendach and John Sawyer will present several approaches to valuing complex equity and debt securities, including the identification of a security’s features and payoffs that require a lattice model instead of a closed-form solution. In addition, the speakers will share their opinions and potential pitfalls when utilizing lattice models.


  • Overview of lattice models
  • Lattice models for equity securities
    • Closed-form vs. lattice model
    • Cox, Ross, and Rubinstein Binomial Option Pricing Model
    • Case studies
      • American Call Option
        • Dividends vs. no dividends
        • Continuous vs. discrete dividends
      • Employee stock option utilizing sub-optimal exercise factor
      • Equity securities within a complex capital structure
    • Measuring volatility
  • Lattice models for debt securities
    • Debt with embedded options
      • Appropriate models when valuing debt
      • Identifying option features
      • Black-Derman-Toy Model
    • Convertible debt
      • Credit risk and equity option features into a debt model
  • Conclusion

Learning Objectives

  • Identify some basic types of securities or features that require a lattice model
  • Learn how to create a lattice model for more complex equity and debt securities using Microsoft Excel
  • Learn how to measure volatility of underlying asset (equity, interest-rate, etc.)
  • Identify common pitfalls and mistakes made when utilizing lattice models

Single Connection Policy

Admission to this event authorizes one computer and phone connection for one location. These connections may be transferred users and/or locations. Multiple concurrent connections for a single admission registration are not allowed.

Multi-User CPE Policy

Admission to this program includes one CPE certificate for one individual. Any additional listeners requesting CPE must pay a processing fee assessed at the completion of the online CE survey for this course.

CPE Processing Fees may be bypassed by entering a valid, unused CPE Authorization Code (for single event purchasers) or by logging into BVR's website (for subscribers to BVR's Training Series).

CPE Information

Prerequisites: Knowledge of Business Valuation
Program Level: Advanced
Preparation Required: None
Delivery Method: Group Internet-Based
Recommended CPE: 2 Credit Hours (Accounting Technical)

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