Assessing the economic value of venture capital contracts: an option pricing approach
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Gabler
2011
|
| Edition: | 1. ed. |
| Series: | EBS-Forschung
78 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 153 S. |
| ISBN: | 9783834928122 3834928127 |
Staff View
MARC
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
ACKNOWLEDGMENTS V
LIST OF FIGURES XIII
LIST OF TABLES XV
1 INTRODUCTION 1
1.1 PROBLEM DEFINITION 1
1.2 RESEARCH OBJECTIVES 5
1.3 DEFINITIONS 6
1.3.1 GENERAL VENTURE CAPITAL TERMS 7
1.3.2 VENTURE CAPITAL CONTRACTING TERMS 12
1.3.3 OPTION PRICING TERMS 21
1.4 COURSE OF THE INVESTIGATION 24
2 GENERAL METHODOLOGY 27
2.1 SCREENING METHODOLOGY 27
2.1.1 SCOPE OF ANALYSIS 27
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008516546
DIGITALISIERT DURCH
IMAGE 2
X CONTENTS
2.1.2 MODEL LEGAL DOCUMENTS 29
2.1.3 EXPLANATORY COMMENTS 31
2.2 VALUATION METHODOLOGY 31
2.2.1 SPECIFICITIES OF OPTIONS EMBEDDED IN VENTURE CAP- ITAL CONTRACTS
31
2.2.2 DERIVATION OF RISK-NEUTRALITY 34
2.2.3 CHOICE OF THE OPTION PRICING TECHNIQUE 34
2.3 MODEL SPECIFICATION 37
2.3.1 DATA SOURCES 37
2.3.2 UNDERLYING ASSET PATH 38
2.3.3 VALUE PROCESS OF EMBEDDED OPTIONS 47
2.3.4 DEPENDENT VARIABLES 49
2.3.5 TRIGGER EVENTS 50
3 VENTURE CAPITAL CONTRACT PRICING MODEL 59
3.1 PROVISIONS DEFINING THE PAYOFF FUNCTIONS 59
3.1.1 MANDATORY CONVERSION AND PIGGYBACK REGISTRATION 60
3.1.2 LIQUIDATION PREFERENCE 65
3.1.3 OPTIONAL CONVERSION RIGHTS 75
3.1.4 INTERACTION OF OPTIONAL CONVERSION AND LIQUIDATION 77
3.2 PROVISIONS INFLUENCING THE NUMBER OF SHARES 82
3.2.1 PREEMPTION RIGHTS 83
3.2.2 ANTI-DILUTION RIGHTS 84
3.2.3 PAY-TO-PLAY PENALTIES AND INTERACTION EFFECTS . . 90
IMAGE 3
CONTENTS XI
3.3 PROVISIONS GRANTING EXERCISE FLEXIBILITIES TO PREFERRED HOLD- ERS 95
3.3.1 SHAREHOLDER AND BOARD VOTING RIGHTS 95
3.3.2 REDEMPTION, DEMAND REGISTRATION AND DRAG-ALONG 108
3.4 SYNTHESIS OF THE CONTRACT PRICING MODEL 116
3.4.1 EXIT TYPE AND TIMING 116
3.4.2 EVOLUTION OF THE NUMBERS OF SHARES 117
3.4.3 COMBINED PAYOFF FUNCTIONS 119
4 APPLICATION OF THE PRICING MODEL 121
4.1 SPECIFICATION OF CONTRACT TERMS 121
4.1.1 SPECIFICATION OF PRICE TERMS 121
4.1.2 SPECIFICATION OF NON-PRICE TERMS 123
4.2 SPECIFICATION OF BASE SCENARIOS 128
4.3 SIMULATION RESULTS AND INTERPRETATION 128
5 CONCLUSION 139
5.1 SUMMARY OF THE FINDINGS 139
5.2 DIRECTIONS FOR FURTHER SCIENTIFIC RESEARCH 141
APPENDIXES 143
A CHI-SQUARED GOODNESS-OF-FIT TESTS 143
A. 1 CHI-SQUARED GOODNESS-OF-FIT TEST APPLIED TO DISTRIBUTION
OF UPWARD JUMP AMPLITUDES 143
IMAGE 4
XII CONTENTS
A.2 CHI-SQUARED GOODNESS-OF-FIT TEST APPLIED TO DISTRIBUTION
OF DOWNWARD JUMP AMPLITUDES 144
REFERENCES 147
|
| any_adam_object | 1 |
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| author_facet | Onimus, Jil Caroline |
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| author_variant | j c o jc jco |
| building | Verbundindex |
| bvnumber | BV036878132 |
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| ctrlnum | (OCoLC)706087899 (DE-599)DNB1008516546 |
| dewey-full | 332.0415401518282 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0415401518282 |
| dewey-search | 332.0415401518282 |
| dewey-sort | 3332.0415401518282 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| indexdate | 2024-07-09T22:50:00Z |
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| isbn | 9783834928122 3834928127 |
| language | English |
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| physical | XII, 153 S. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | Gabler |
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| series | EBS-Forschung |
| series2 | EBS-Forschung Gabler research |
| spelling | Onimus, Jil Caroline Verfasser (DE-588)143520261 aut Assessing the economic value of venture capital contracts an option pricing approach Jil Caroline Onimus 1. ed. Wiesbaden Gabler 2011 XII, 153 S. txt rdacontent n rdamedia nc rdacarrier EBS-Forschung 78 Gabler research Zugl.: Wiesbaden, EBS Univ. für Wirtschaft und Recht, Diss., 2010 Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Risikokapital (DE-588)4124067-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Risikokapital (DE-588)4124067-4 s Optionspreistheorie (DE-588)4135346-8 s Monte-Carlo-Simulation (DE-588)4240945-7 s DE-604 EBS-Forschung 78 (DE-604)BV010702141 78 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020793588&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Onimus, Jil Caroline Assessing the economic value of venture capital contracts an option pricing approach EBS-Forschung Optionspreistheorie (DE-588)4135346-8 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Risikokapital (DE-588)4124067-4 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4240945-7 (DE-588)4124067-4 (DE-588)4113937-9 |
| title | Assessing the economic value of venture capital contracts an option pricing approach |
| title_auth | Assessing the economic value of venture capital contracts an option pricing approach |
| title_exact_search | Assessing the economic value of venture capital contracts an option pricing approach |
| title_full | Assessing the economic value of venture capital contracts an option pricing approach Jil Caroline Onimus |
| title_fullStr | Assessing the economic value of venture capital contracts an option pricing approach Jil Caroline Onimus |
| title_full_unstemmed | Assessing the economic value of venture capital contracts an option pricing approach Jil Caroline Onimus |
| title_short | Assessing the economic value of venture capital contracts |
| title_sort | assessing the economic value of venture capital contracts an option pricing approach |
| title_sub | an option pricing approach |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Risikokapital (DE-588)4124067-4 gnd |
| topic_facet | Optionspreistheorie Monte-Carlo-Simulation Risikokapital Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020793588&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV010702141 |
| work_keys_str_mv | AT onimusjilcaroline assessingtheeconomicvalueofventurecapitalcontractsanoptionpricingapproach |