Pricing levered warrants under the CEV diffusion model

DOI10.1007/S11147-023-09199-1MaRDI QIDQ6549859zbMATH OpenFDO

Authors Carlos Miguel Glória, José Carlos Dias, Aricson Cruz

Publication date 4 June 2024

Published in Review of Derivatives Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11147-023-09199-1

zbMATH Keywords

CEV modeldebtdilutionvolatilitywarrants

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A note on options and bubbles under the CEV model: implications for pricing and hedging
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• On the computation of option prices and Greeks under the CEV model
• On the multiplicity of option prices under CEV with positive elasticity of variance
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• Pricing levered warrants with dilution using observable variables
• Simulation of the CEV process and the local martingale property
• The pricing of options and corporate liabilities
• The risk-shifting effect and the value of a warrant
• Warrants on the London Stock Exchange: Pricing Biases and Investor Confusion

Cited in

(1)

• The interaction between equity-based compensation and debt in managerial risk choices

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