THE "DELTA" OF THE MARGRABE FORMULA

Tumellano Sebehela ()
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Tumellano Sebehela: University of Reading, Reading, UK

Annals of Financial Economics (AFE), 2014, vol. 09, issue 03, 1-19

Abstract: This paper illustrates a derivative of a derivative (i.e. "delta") of an exchange option in the U.S. real estate investment trust (REIT) industry. So far, it seems that there is no study that derives a "delta" of an exchange option using Laplace transform. First, the "delta" illustrates that change in exchange option is "driven" by at least one variable which in turn influences the curvature of a "delta" distribution. The empirical results show that each "delta" is 0.03 on average. Lastly, it seems that REIT mergers and acquisitions (M&As) occurred both for strategic and financial reasons.

Keywords: "Delta"; derivative; REIT; mergers and acquisitions; Laplace transform; JEL Classification: G13 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1142/S2010495214500079

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