Equilibrium exercise of European warrants

DOI10.1007/s11147-011-9072-7zbMath1256.91054OpenAlexW2118842763MaRDI QIDQ1937836

Gregory Willette, Nikunj Kapadia

Publication date: 1 February 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-011-9072-7

zbMATH Keywords

competitive equilibriumG12G13European warrantexercise policy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Strategic analysis of the competitive exercise of certain financial options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal exercise strategies for corporate warrants

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