Pricing Levered Warrants with Dilution using Observable Variables

We propose a valuation framework for pricing European call warrants on the issuer's own stock that allows for debt in the issuer firm. In contrast to other works which also price warrants with dilution issued by levered firms, ours uses only observable variables. We extend the models of both Crouhy and Galai (1994) and Ukhov (2004). We provide numerical examples to study some implementation issues and to compare the model with existing ones

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Year of publication:	2014
Authors:	Abinzano, Isabel
Other Persons:	Navas, Javier F. (contributor)
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (30 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance, Vol. 13, No. 8 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 15, 2013 erstellt
Classification:	C13 - Estimation ; C63 - Computational Techniques ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013053109