Abinzano Guillén, María Isabel

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https://academica-e.unavarra.es/handle/2454/48436

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Abinzano Guillén

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María Isabel

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-4658-8677

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88665

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7240

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Author: Navas, Javier F. ×

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    PublicationOpen Access
    Pricing levered warrants with dilution using observable variables
    (Taylor & Francis, 2013) Abinzano Guillén, María Isabel; Navas, Javier F.; Gestión de Empresas; Enpresen Kudeaketa
    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 firms, ours uses only observable variables. Thus, we extend the models of both Crouhy and Galai (1994) and Ukhov (2004). We provide numerical examples to study some implementation issues and to compare the model with existing ones.