The pricing and optimal strategies of callable warrants

DOI10.1016/J.EJOR.2010.02.002MaRDI QIDQ976411zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A Two‐Person Game for Pricing Convertible Bonds
• A dynamic programming approach to price installment options
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• Effects of callable feature on early exercise policy
• Game contingent claims in complete and incomplete markets
• Game options
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Monte Carlo analysis of convertible bonds with reset clauses
• Option pricing: A simplified approach
• Properties of game options

Cited in

(18)

• Optimal policies of call with notice period requirement
• The risk-shifting effect and the value of a warrant
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• Pricing of warrants with stock price dependent threshold conditions
• THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
• EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
• scientific article; zbMATH DE number 6531862 (Why is no real title available?)
• Fair terms and fair pricing for multiple warrant issues
• Optimal liquidation of a call spread
• Dynkin's games and Israeli options
• Effects of callable feature on early exercise policy
• Pricing levered warrants with dilution using observable variables
• Pricing American perpetual warrants by linear programming
• Equilibrium exercise of European warrants
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Strategic bank closure and deposit insurance valuation
• Optimal exercise strategies for corporate warrants
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

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