Pricing levered warrants with dilution using observable variables

DOI10.1080/14697688.2013.771280zbMATH Open1281.91149OpenAlexW2054068373MaRDI QIDQ5397455FDOQ5397455

Authors: Isabel Abínzano, Javier F. Navas 

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2454/20911

Recommendations

• The pricing and optimal strategies of callable warrants
• Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
• Fair terms and fair pricing for multiple warrant issues
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• The risk-shifting effect and the value of a warrant

zbMATH Keywords

leveragedilutionobservable variablescorporate warrants

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• The pricing and optimal strategies of callable warrants
• The risk-shifting effect and the value of a warrant
• Optimal exercise strategies for corporate warrants

Cited In (14)

• Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
• The pricing and optimal strategies of callable warrants
• 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
• Stochastic pricing formulation for hybrid equity warrants
• Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
• 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
• The risk-shifting effect and the value of a warrant
• Pricing of warrants with stock price dependent threshold conditions
• 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

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