姚同学2023-07-01 18:38:50
姚同学怎么理解“In sum, this merge strategy is equivalent to holding a riskless bond with a face value of $40k and a short binary put option, which expires worthless if the merger succeeds but pays out $110k if the merge fails. ”要是考试没有解释道这一句，会失分吗？
回答（1）
开开2023-07-02 21:02:53
开开同学你好，要看考试怎么问的。如果只是问你merger arbitrage的payoff，则给出计算结果即可。
我觉得这里更合理的解释是40k更像一个保险的保费，如果并购成功，相当于没有出险，因此不用赔付，获得40k保费。而如果说并购失败，相当于出险，需要赔付110k。
书上说：Merger arbitrage is comparable to writing insurance on an acquisition. If the acquisition is completed as planned, the hedge fund earns an insurance premium. If the transaction fails, then the hedge fund stands to lose money, analogous to an insurance company making a payout.
如果答疑对你有帮助，【请采纳】哟~。加油，祝你顺利通过考试~
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