Pricing levered warrants with dilution using observable variables

DOI10.1080/14697688.2013.771280zbMath1281.91149OpenAlexW2054068373MaRDI QIDQ5397455

Isabel Abínzano, Javier F. Navas

Publication date: 20 February 2014

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

Full work available at URL: https://hdl.handle.net/2454/20911

zbMATH Keywords

leveragedilutionobservable variablescorporate warrants

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

Cites Work

• The pricing and optimal strategies of callable warrants
• The risk-shifting effect and the value of a warrant
• Optimal exercise strategies for corporate warrants

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