We reviewed (extended and made more compact/self-explained) some formulas, previously appeared in the literature, for the evaluation of equity options and bond options in the Leland model (1994), where stockholders have a perpetual American option to default.Our formulas have been expressed in...

China launched her warrant market in August 2005 in the split share structure reform of listed companies. As up to now, equity trading on margin and short-sale of any form are still prohibited in China. This warrant market enables investors to trade on information that otherwise might be...

A bank's stock price is modeled as a call option on the spread of random assets over random liabilities. The logarithm of assets and liabilities are jointly modeled as driven by four variance gamma processes and this model is estimated by calibrating to quoted equity options seen as compound...

This article examines the factors that are not considered in the Black–Scholes model in determining the price of warrants. Using the outstanding percentage as a threshold variable, we test for the existence of threshold effect in warrant prices. It is shown that for warrants with a low...

In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future volatility or if they contribute to volatility discovery by their own. As a result,...