Help needed on new average-strike put option DLOM model

BVWireIssue #168-3
September 28, 2016

John Finnerty (Alix Partners) tells BVWire that he would like to find some data to test a new version of his average-strike put option DLOM model, which can be generalized to accommodate a restriction period of any particular fixed length. He recommends that his old model be used for restriction periods of up to one year, but his new version should be used for restriction periods of more than two years (either model can be used for periods of one to two years). Finnerty also developed an extension of the new model that will accommodate situations where the length of the restriction period is uncertain, as, for example, when it is unclear when a private company might achieve a liquidity event.

Got data? Finnerty is looking for comments and suggestions—and would also like some real data for testing purposes. “If anybody has a sample of private company data, I would love to test this model,” he says. Anyone who provides the data will be listed as a co-author of the paper Finnerty will write on the new model. You can contact him at

Extra: Learn more about his new version in a webinar, Discount for Lack of Marketability for Any Restriction Period—Mastering the Average-Strike Put Option DLOM Model, which can be acquired if you click here.

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