Burney, Robert B; Moore, William T - In: Review of Quantitative Finance and Accounting 8 (1997) 1, pp. 5-18
A simple valuation model for callable warrants is derived and tested. The model is expressed in closed form except for one term which can be evaluated numerically. Predictions of 78 warrant prices are compared to market prices and the average error is -.224 percent. By contrast, the...