衣领，预付远期和DLOM:波动性是缺失的一环

Business Valuation Review Pub Date : 2015-03-24 DOI:10.5791/0882-2875-34.1.24

J. Finnerty, Rachael W. Park

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引用次数: 1

摘要

可变预付远期(VPF)模型假设可售性限制只会使资产所有者在限制期内损失货币的时间价值。它不符合适销性折扣的定义。看跌期权模型更适合于无市场性贴现(DLOM)的计算。VPF模型通常会严重低估DLOM，资产价格波动越大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Collars, Prepaid Forwards, and the DLOM: Volatility Is the Missing Link

The variable prepaid forward (VPF) model assumes that a marketability restriction only costs the asset owner the time value of money during the restriction period. It does not fit the definition of the marketability discount. A put-option model is better suited for the discount for lack of marketability (DLOM) calculation. The VPF model will usually significantly underestimate the DLOM, the more so the higher the asset's price volatility.

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Business Valuation Review

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