An extention of Samuelson's warrant valuation model and its application to Japanese data

DOI10.1007/BF02425171MaRDI QIDQ1000380zbMATH OpenOpenAlexFDO

Authors Masafumi Takahashi

Publication date 6 February 2009

Published in Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02425171

zbMATH Keywords

optimal conversion priceSamuelson's perpetual warrant model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• Fair terms and fair pricing for multiple warrant issues
• scientific article; zbMATH DE number 2202067
• The martingale pricing for warrant bonds under stochastic interest rate

Cites work

• An extensive analysis on the Japanese markets via S. Taylor's model
• Mathematics of Speculative Price
• The pricing of options and corporate liabilities

Cited in

(2)

• scientific article; zbMATH DE number 2202067 (Why is no real title available?)
• Black-Scholes approximation of warrant prices: slight return in a low interest rate environment

This page was built for publication: An extention of Samuelson's warrant valuation model and its application to Japanese data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1000380)