ABÍNZANO, Isabel; Navas, Javier F. - In: Quantitative Finance 13 (2013) 8, pp. 1199-1209
<title>Abstract</title> 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 that also price warrants with dilution issued by levered firms, ours uses only observable variables. Thus, we extend the...