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The Demutualisation of AMP Society: An Example of the Valuation of Collars Comprising Asian Options

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Listed:
  • Stephen A. Easton

    (Department of Accounting and Finance, University of Newcastle. Cailaghan. NSW 2308)

  • Sean M. Pinder

    (Department of Accounting and Finance, University of Newcastle. Cailaghan. NSW 2308)

Abstract

A number of Australian mutual organisations have recently been demutualised and restructured as public companies. In the case of AMP Society, a cottar comprising average price, or Asian, options formed part of the financial structuring of the demutualisation process. We value the collar and demonstrate that decisions made by policyholders during the demutualisation process are likely to have been affected by their level of uncertainty with respect to the value of AMP shares. This finding has implications as to the quantity of information provided to policyholders during the demutualisation process.

Suggested Citation

  • Stephen A. Easton & Sean M. Pinder, 2000. "The Demutualisation of AMP Society: An Example of the Valuation of Collars Comprising Asian Options," Australian Journal of Management, Australian School of Business, vol. 25(3), pages 283-297, December.
    • Handle: RePEc:sae:ausman:v:25:y:2000:i:3:p:283-297
    DOI: 10.1177/031289620002500303
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    References listed on IDEAS

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    1. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
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