Archive 2009-19: Discounts for Lack of Marketability




Discounts for Lack of Marketability: New Models and Methods Only

presented by
Bob Duffy, CPA/ABV, CFA, ASA, Moderator
Kevin Yeanoplos, CPA/ABV/CFF, ASA

Webinar 19 Original Broadcast Date: December 1, 2009

The main highlight of this session will be the discussion of the following quantitative and/or new DLOM models and methods: Longstaff Look Back Put Option Model, Asian Protective Put Options, European Put Option Model, Long Term Equity Anticipation Securities (LEAPS), Quantitative Marketability Discount Model (QMDM) and the Chicago Board Options ExchangeExchange’s Volatility Index (VIX).

Learning Objectives:

• Using actual examples, the participant will learn about the use of four put option models (It’s not as hard as it looks)

• The participant will see an example of the use of LEAPS for determining a DLOM

• The participant will learn about the use of two new data sources (LEAPS and VIX) for determining DLOMs in a distressed economy

• The participant will see how the panelists revisit QMDM in an example

• The participant will learn about the strengths and weaknesses of all these models and methods

Webinar Outline:

• Longstaff’s “Look Back” Put Option Model

• Asian Geometric Average Rate Put Option Model

• Finnerty’s Asian Arithmetic Average Strike Put Option Model

• Chaffe’s European Put Option Model

• Seaman’s Long-Term Equity Anticipation Securities (LEAPS) Method including DLOMs in a distressed economy

• Hall’s Chicago Board Options Exchange’s Volatility Index (VIX) comparisons for DLOMs in a distressed economy

• Mercer’s Quantitative Marketability Discount Model (QMDM)

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Additional information

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