Optimal exercise strategies for corporate warrants

DOI10.1080/14697680500510662zbMath1132.91013OpenAlexW2044140036MaRDI QIDQ5475310

Christian Koziol

Publication date: 16 June 2006

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

Full work available at URL: https://doi.org/10.1080/14697680500510662

zbMATH Keywords

option pricingfinancial structurewarrantsexercise strategy

Mathematics Subject Classification ID

Related Items (4)

A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Equilibrium exercise of European warrants ⋮ Pricing levered warrants with dilution using observable variables

Cites Work

• The Pricing of Options and Corporate Liabilities
• Strategic analysis of the competitive exercise of certain financial options
• Anonymous games with binary actions
• Equilibrium points of nonatomic games

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