LEVYNE Olivier

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Optimization of valuation and hedging models for financial options under liquidity constraints.

As economic and financial environments are governed by many uncertainties, real estate investment decision-making is becoming increasingly complex.The first chapter begins by introducing the traditional methods of evaluating real estate investment choices. The notion of real options is then introduced through the link between real options and financial options. The second chapter examines the use of real options in the real estate sector, systematically referring to the literature on real options. The third chapter presents analyses of performance measurement and dynamics of returns and volatility in the European and American markets.

The first chapter is a presentation of the main concepts and results concerning corporate finance in the light of some recent developments in labor economics.The second chapter aims at establishing the optimality properties concerning the investment and hiring of a firm within the framework of linear utility maximization.The third chapter deals with the (possible) problem of disinvestment and layoffs. In particular, we study the optimal decision problems of the manager facing either a market growth or a fall in demand for his product.The fourth chapter reconsiders the question by taking into account specifically an upper bound on the quantity that can be really sold.The fifth chapter considers the possible phenomena of mean reversion of the unit price of the product sold.The sixth and last chapter reconsiders the optimal decision problems for different possible forms of debt.

This thesis is interested in showing the conceptual and empirical interest of the option approach to the valuation and timing of M&A projects. To do so, we first mobilized a large literature on mergers and acquisitions and the real options related to them. Noting the lack of empirical contributions to this literature, we proceeded to conduct two empirical studies. The first is an exploratory qualitative study conducted with M&A experts. The results of this study allowed us to study in depth the particularities of the evaluation and timing of mergers and acquisitions and to identify new categories of real options present in the different phases of the evaluation process and in the moments of choice of timing. These options were then classified into strategic growth options and flexibility options. Once the options were identified, we moved on to our second empirical study, which is a real case study. This study aims, based on a real merger-acquisition project, to clarify the valuation and timing issues when the acquirer uses traditional valuation techniques such as the Net Present Value. The limitations of these methods lead us to propose solutions for a better approach to the valuation and timing of mergers and acquisitions under uncertainty: the real options method. To do so, we propose to evaluate the acquisition opportunity and to study the timing of its conclusion using the simple option methodology. Three valuation methods are then adopted: the continuous time valuation model (Black and Scholes), the discrete time model (binomial trees) and the Monte Carlo simulation technique. The second solution proposed is the approach to the valuation and timing of mergers and acquisitions by the multi-sequential compound option methodology. For this purpose, we mobilize the binomial model adapted by Mun (2010) and propose a customized modeling in Visual Basic of the option sequences related to the valuation process and the timing choice.

This thesis deals with the optimal choice of investments in the light of real options theory and the consideration of different production modes. We first propose several extensions of the irreversible investment model of Pindyck (1988): introduction of more complex processes to describe the evolution of the market value and of very general production functions to describe the activity of the firm. Taking into account risk aversion in a dynamic optimization framework. Second, we show how Margrabe's (1978) exchange options can be used to solve certain investment choice problems. We propose various extensions and illustrations.

This thesis is organized around three chapters. The first one proposes a methodological guide for valuation and takeover operations. In a stock market context, this thesis analyzes the level of premium offered on the price of the target company and comes to conclusions on the scope of valuation methods. As an illustration, it is based on the analysis of real and potential transactions. In a second chapter, this thesis examines the link between the balance sheet structure and the profitability of companies before seeking to characterize the target companies of public offers in order to identify them ex ante. The third chapter focuses on the contribution of real options to the investment process. After a detailed review of the financial literature, this thesis establishes an original model for evaluating the option to invest in the presence of information costs. In addition, it analyzes the timing of the investor's public offering. The results of this empirical study prompt a rethinking of traditional criteria for strategic investment decision-making.