论文标题
日志私人公司评估模型
The Log Private Company Valuation Model
论文作者
论文摘要
对于一家上市公司，选择和股权的定价和对冲模型和股权 - 与人寿保险产品相关的产品已经充分开发。但是，对于一家私人公司而言，由于价格未观察到的价格，价格和对冲模型的欧洲期权和人寿保险产品都处于开发的早期阶段。因此，本文介绍了基于动态戈登增长模型的日志私人公司评估模型。在本文中，我们获得了封闭式的 - 欧洲期权和股权的股票期权公式 - 私人公司的人寿保险产品。此外，本文为我们的模型提供了最大的可能性（ML）估计量，期望最大化（EM）算法和私人公司的估值公式。
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of unobserved prices, pricing and hedging models of the European options and life insurance products are in their early stages of development. For this reason, this paper introduces a log private company valuation model, which is based on the dynamic Gordon growth model. In this paper, we obtain closed--form pricing and hedging formulas of the European options and equity--linked life insurance products for private companies. Also, the paper provides Maximum Likelihood (ML) estimators of our model, Expectation Maximization (EM) algorithm, and valuation formula for private companies.
