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Pricing levered warrants with dilution using observable variables
(Taylor & Francis, 2013) Artículo / Artikulua,
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 ...
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017) info:eu-repo/semantics/article,
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...
Disentangling the transmission channel NPLs-cost of capital-lending supply
(Routledge, 2018) info:eu-repo/semantics/article,
This paper analyses the effects of non-performing loans (NPLs) on the cost of capital, and on lending and liquidity supply, for a sample of 225 Eurozone banks over the period 2002Q1-2016Q4. Our results demonstrate that ...