An Optimal Timing of Merger and Acquisition for bidders under Brownian Motion with Poisson Jumps

摘要：

This paper studies on optimal timing of merger and acquisition (OTMA) for bidders under Brownian motion with Poisson jumps. Looking the stock price ratio n between targets and bidders as a Brownian motion with Poisson jumps process, it solves the problem of bidders OTMA from the situation that jump-range is satisfied with general conception. It applies the method of optimal stopping to get the satisfying conditions for bidders OTMA in general jump-range. And finally by method of numerical analysis in uniform distribution it draws some practical and valuable conclusions which can provide theoretical guidance on optimal timing choice for bidders of merger and acquisition in financial storm.

关键词： Geometric Brownian motion Poisson jump process Stock price ration Optimal stopping Optimal timing of merger and acquisition

作者: Bian Lu HU Wenxiu Zhang JiangPeng

作者单位: School of Business Administration of Xian University of Technology, Shaanxi Xian 710054 School of Management, Xian University of Architecture and Technology, P.R.China, 710055

会议类型: 国际会议

会议名称: The 1st International Conference on Sustainable Construction & Risk Management(首届可持续建设与风险管理国际会议)

会议地点: 重庆

会议语种:英文

页码: 629-636

在线出版日期: 2010-06-12（万方平台首次上网日期，不代表论文的发表时间）