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O. Pennin (Oege), M.J. van den Assem (Martijn) and R.C.J. Zwinkels (Remco)

2014

A Critical Review of the Fair Value Settlement Procedure for Stock Options

Publication

Publication

We review the European practice of fair value settlement of stock options after a successful takeover bid. We argue on both fundamental and practical grounds that the inherent complexity, arbitrariness and inaccuracy of fair value calculations call for replacement by intrinsic value settlement. This alternative is simple, transparent, well-defined, and common practice at other exchanges.

Additional Metadata
Keywords fair value, intrinsic value, stock options, equity options, implied volatility, option pricing, takeovers, options markets
JEL Government Policy and Regulation (jel G28), Pension Funds; Other Private Financial Institutions (jel G23)
Persistent URL hdl.handle.net/1765/76979
Organisation Erasmus School of Economics
Citation
Pennin, O., van den Assem, M., & Zwinkels, R. (2014). A Critical Review of the Fair Value Settlement Procedure for Stock Options. Retrieved from http://hdl.handle.net/1765/76979


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