An extention of Samuelson's warrant valuation model and its application to Japanese data

DOI10.1007/BF02425171zbMath1154.91480OpenAlexW1991579481MaRDI QIDQ1000380

Masafumi Takahashi

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425171

zbMATH Keywords

optimal conversion priceSamuelson's perpetual warrant model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The Pricing of Options and Corporate Liabilities
• An extensive analysis on the Japanese markets via S. Taylor's model
• Mathematics of Speculative Price

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