The risk-shifting effect and the value of a warrant

DOI10.1080/14697680902953841zbMath1201.91217OpenAlexW3122451389MaRDI QIDQ3064022

Massimiliano Barbi, Emanuele Bajo

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902953841

zbMATH Keywords

corporate financecorporate valuationapplied financecorporate risk management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ On the computation of option prices and Greeks under the CEV model ⋮ Pricing levered warrants with dilution using observable variables ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic equity volatility related to the leverage effect

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