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Estimating fund manager fees using option pricing model

dc.contributor.authorNajar, Dorra
dc.date.accessioned2014-07-23T13:59:06Z
dc.date.available2014-07-23T13:59:06Z
dc.date.issued2012-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13779
dc.language.isoenen
dc.subjectCapital-investissementen
dc.subjectCapital-risqueen
dc.subjectGouvernement d'entrepriseen
dc.subjectPrivate equityen
dc.subjectVenture capitalen
dc.subjectFund managersen
dc.subjectManagerial compensationen
dc.subjectCorporate governanceen
dc.subjectOption pricingen
dc.subject.ddc658.1en
dc.subject.classificationjelG1en
dc.subject.classificationjelG2en
dc.subject.classificationjelG3en
dc.subject.classificationjelG17en
dc.subject.classificationjelG24en
dc.subject.classificationjelG34en
dc.titleEstimating fund manager fees using option pricing modelen
dc.typeCommunication / Conférence
dc.description.abstractenThis paper analyses the private equity fund compensation. We build a model to estimate the expected revenue of fund managers as a function of their investor contracts. We tried to evaluate the present value of the carried interest, which is one of the most common profit sharing arrangements observed in private equity funds. We applied the Monte Carlo simulation model and we introduced the non-marketability disco unt of the carried interest in order to calculate its fair value. The purpose of this paper is to determine the sensitivity of the expected carried interest fair value to the variation of its optional parameters.en
dc.identifier.citationpages37en
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.conftitle21st Annual Meeting of the European Financial Management Association - EFMA 2012en
dc.relation.confdate2012-06
dc.relation.confcityBarceloneen
dc.relation.confcountryEspagneen
dc.relation.forthcomingnonen


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