Acquisition of Westinghouse by the international consortium led by Toshiba attracted a great deal of global attention, although Toshiba concluded a secret agreement to give put options to their partners in the deal. As a result, the execution of the options by a partner gave an additional blow to the already daunted Toshiba, when Toshiba was said to suffer a huge loss through its nuclear power engineering business after the Fukushima nuclear disaster due to the Great East Japan Earthquake in 2011, which is said to have eventually triggered off Toshiba accounting scandal. In this paper, we evaluate the put options Toshiba gave to their partners and estimate how much loss Toshiba suffered from the consequences of the Fukushima nuclear disaster, in order to take a better view of Toshiba accounting scandal, through the approach of Real Options, Merton model and the Event Study.
This paper investigates the option pricing model by Bronzin (1908) and its extensions. His approach is different from Bachelier (1900) that is the oldest option pricing model and other option pricing models such as Black and Scholes (1973). He derived the European option pricing model by integrating the survival function (one minus distribution function) of the underlying asset. We try to extend his basic model in the following three points. The first, it is possible to obtain the same result based on definite integral, rather than indefinite integral as done by Bronzin. Secondly, as a result, visualization of the option premium becomes possible because the premium can be represented by the area under the survival function. Thirdly, we study the way to incorporate the risk preference of the investors in the option premium. The risk adjustment can be done by moving the survival function up and down. As an example, Black and Scholes (1973) model can be obtained by sifting the survival probability curve downward by the risk premium. It corresponds to a change of the drift term from the expected return to the risk free rate.