The pricing and optimal strategies of callable warrants

DOI10.1016/J.EJOR.2010.02.002zbMATH Open1188.91075OpenAlexW1968099207MaRDI QIDQ976411FDOQ976411

Authors: Kyoko Yagi, Katsushige Sawaki 

Publication date: 11 June 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.02.002

Recommendations

• Pricing levered warrants with dilution using observable variables
• scientific article; zbMATH DE number 2190136
• Optimal exercise strategies for corporate warrants
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• Fair terms and fair pricing for multiple warrant issues

zbMATH Keywords

financeoptimal stopping problemwarrantscall clausesdecomposition of priceoptimal boundary

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Option pricing: A simplified approach
• Title not available (Why is that?)
• Monte Carlo analysis of convertible bonds with reset clauses
• A dynamic programming approach to price installment options
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Effects of callable feature on early exercise policy
• Game options
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• A Two‐Person Game for Pricing Convertible Bonds
• Game contingent claims in complete and incomplete markets
• Properties of game options
• Title not available (Why is that?)

Cited In (18)

• Strategic bank closure and deposit insurance valuation
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Optimal exercise strategies for corporate warrants
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• Title not available (Why is that?)
• THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
• EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
• The risk-shifting effect and the value of a warrant
• Dynkin's games and Israeli options
• Pricing American perpetual warrants by linear programming
• Equilibrium exercise of European warrants
• Optimal liquidation of a call spread
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
• Pricing of warrants with stock price dependent threshold conditions
• Optimal policies of call with notice period requirement
• Effects of callable feature on early exercise policy
• Fair terms and fair pricing for multiple warrant issues
• Pricing levered warrants with dilution using observable variables

This page was built for publication: The pricing and optimal strategies of callable warrants

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q976411)