Nagornov_Arundel_case (4)

1 215 559 230 262 born on the fourth of july 745 194

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Unformatted text preview: eviation of ∆ S/S (S0 = avg, S1 = exp. revenue after first film) – r = risk adjusted rate (here per Period) – N(z) =cumulative standard normal probability density from - ∞ to z Estimation of parameters for Black­Scholes Estimation of parameters for Black­Scholes Studio/Movie Title PV of cash inflows years PV of PV of expected Change in expected cost at Maturity Expectations of inflows at (t=2) Cash Inflows Maturity (t=2) PV of negative cost 1 0 MCA Universal PARENTHOOD 100.1 21.5 55.9 23.0 262% BORN ON THE FOURTH OF JULY 74.5 19.4 41.6 20.8 169% FIELD OF DREAMS 59.1 17.2 33.0 18.4 114% UNCLE BUCK 60.0 16.1 33.5 17.3 117% SEA OF LOVE 53.5 26.9 29.9 28.8 93% ALWAYS 34.3 33.3 19.1 35.7 24% K-9 37.8 12.9 21.1 13.8 37% THE BURBS 32.2 18.3 18.0 19.6 16% THE DREAM TEAM 28.4 16.1 15.8 17.3 3% DO THE RIGHT THING 30.0 7.5 16.7 8.0 8% DAD 17.7 20.4 9.9 21.9 -36% SHOCKER THE WIZARD RENEGADES 14.3 12.7 6.9 6.5 8.6 12.9 8.0 7.1 3.9 7.0 9.2 13.8 -48% -54% -75% DISORGANIZED CRIME CHEETAH Total Average 7.8 9.2 11.8 7.5 1710 17.27 4.4 5.1 12.6 8.0 -72% -67% 2740 27.68 18.50 15.44 Sigma 0.00 150% Estimation Results of Black­Scholes Estimation Results of Black­Scholes Why Black­Scholes is not working? Why Black­Scholes is not working? • • Markets are efficient Returns are normally distributed Thank you for your attention! Thank you for your attention!...
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