Corpus ID: 159448614

Evaluation of equity-based debt obligations

  title={Evaluation of equity-based debt obligations},
  author={A. Fromm},
  journal={arXiv: Pricing of Securities},
  • A. Fromm
  • Published 8 January 2019
  • Economics
  • arXiv: Pricing of Securities
We consider a class of participation rights, i.e. obligations issued by a company to investors who are interested in performance-based compensation. Albeit having desirable economic properties equity-based debt obligations (EbDO) pose challenges in accounting and contract pricing. We formulate and solve the associated mathematical problem in a discrete time, as well as a continuous time setting. In the latter case the problem is reduced to a forward-backward stochastic differential equation… Expand


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