Conditional-Exchange Option

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2015 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Tumellano Sebehela;

doi: 10.2139/ssrn.2634915 , 10.2139/ssrn.2686070

Conditional-Exchange Option

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Abstract

This paper theoretically illustrates that exchange and conditional options are intertwined in M&A transactions. That is, this study illustrates that an exercised exchange option is simultaneously linked to a conditional option in M&A. A conditional-exchange option is derived from a Radon-Nikodym derivative. The results illustrate that a conditional-exchange option is applicable to American and European options. In addition, the formula is usable both in bull and bear market conditions.

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