Pricing levered warrants under the CEV diffusion model

DOI10.1007/S11147-023-09199-1zbMATH Open1537.9132MaRDI QIDQ6549859

Carlos Miguel Glória, José Carlos Dias, Aricson Cruz

Publication date: 4 June 2024

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

zbMATH Keywords

debtvolatilitydilutionCEV modelwarrants

Mathematics Subject Classification ID

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

Cites Work

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• The pricing of options and corporate liabilities
• Simulation of the CEV process and the local martingale property
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• On the multiplicity of option prices under CEV with positive elasticity of variance
• A note on options and bubbles under the CEV model: implications for pricing and hedging
• The risk-shifting effect and the value of a warrant
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• Warrants on the London Stock Exchange: Pricing Biases and Investor Confusion
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On the computation of option prices and Greeks under the CEV model
• Pricing levered warrants with dilution using observable variables

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