Fair terms and fair pricing for multiple warrant issues

DOI10.1080/10920277.2010.10597604MaRDI QIDQ3088980zbMATH OpenOpenAlexFDO

Authors John T. Kemper, P. W. A. Dayananda

Publication date 23 August 2011

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2010.10597604

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• The risk-shifting effect and the value of a warrant
• Pricing levered warrants with dilution using observable variables
• The pricing and optimal strategies of callable warrants
• Equilibrium exercise of European warrants
• Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Executive Stock Options
• Hedging Equity-Linked Life Insurance Contracts
• The pricing of options and corporate liabilities

Cited in

(7)

• The pricing and optimal strategies of callable warrants
• An extention of Samuelson's warrant valuation model and its application to Japanese data
• Warrants on the London Stock Exchange: Pricing Biases and Investor Confusion
• EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
• Pricing of warrants with stock price dependent threshold conditions
• Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
• Pricing levered warrants with dilution using observable variables

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