The risk-shifting effect and the value of a warrant

DOI10.1080/14697680902953841zbMATH Open1201.91217OpenAlexW3122451389MaRDI QIDQ3064022FDOQ3064022

Authors: Emanuele Bajo, Massimiliano Barbi 

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Stochastic equity volatility related to the leverage effect

Cited In (13)

• The impact of warrants introduction: sign effect or magnitude effect?
• On the computation of option prices and Greeks under the CEV model
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Dilution, anti-dilution and corporate positions in options on the company's own stocks
• Warrants on the London Stock Exchange: Pricing Biases and Investor Confusion
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
• EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
• Fair terms and fair pricing for multiple warrant issues
• Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
• Pricing levered warrants under the CEV diffusion model
• Pricing levered warrants with dilution using observable variables

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