The Valuation of the Option to Expropriate a Multinational Enterprise's Assets
This paper values a hostile government's option to expropriate a multinational's assets, using stochastic calculus. We assume that the exchange rate follows a geometric Brownian motion process and expropriation events are Poisson distributed through time.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: THE AUSTRALIAN NATIONAL UNIVERSITY, DEPARTMENT OF ECONOMICS, RESEARCH SCHOOL of PACIFIC STUDIES, RESEARCH SCHOOL OF SOCIAL SCIENCES, G.P.O. 4, CANBERRA ACT 2601 AUSTRALIA..O. BOX 4 CANBERRA 2601 AUSTRALIA.|
Web page: http://economics.anu.edu.au/economics.htm
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