Fair terms and fair pricing for multiple warrant issues

DOI10.1080/10920277.2010.10597604zbMATH Open1219.91137OpenAlexW2091580756MaRDI QIDQ3088980FDOQ3088980

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

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

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
• Title not available (Why is that?)
• Hedging Equity-Linked Life Insurance Contracts
• Executive Stock Options

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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