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...

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

Turbo warrants are represented as a combination of two path-dependent exotic derivatives. In this report we studied pricing formulas for a typical turbo call under Black-Scholes, stochastic volatility, and jump-diffusion market models. While majority of the pricing formulas thus surveyed have...

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...