Pricing levered warrants with dilution using observable variables
| dc.contributor.author | Abinzano Guillén, María Isabel | |
| dc.contributor.author | Navas, Javier F. | |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.date.accessioned | 2016-06-22T11:06:31Z | |
| dc.date.available | 2016-06-22T11:06:31Z | |
| dc.date.issued | 2013 | |
| dc.description | This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on August 2013, available online: http://dx.doi.org/10.1080/14697688.2013.771280 | en |
| dc.description.abstract | 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. | en |
| dc.description.sponsorship | The authors acknowledge the financial support of the Spanish Ministry of Economy and Competitiveness (grants ECO2012-35946-C02-01 and ECO2012-34268) | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1080/14697688.2013.771280 | |
| dc.identifier.issn | 1469-7688 (Print) | |
| dc.identifier.issn | 1469-7696 (Electronic) | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/20911 | |
| dc.language.iso | eng | en |
| dc.publisher | Taylor & Francis | en |
| dc.relation.ispartof | Quantitative Finance, vol 18, issue 8, 2013 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/ | |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-34268/ES/ | |
| dc.relation.publisherversion | https://dx.doi.org/10.1080/14697688.2013.771280 | |
| dc.rights | © Taylor & Francis 2013 | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.subject | Corporate warrants | en |
| dc.subject | Dilution | en |
| dc.subject | Leverage | en |
| dc.subject | Observable variables | en |
| dc.title | Pricing levered warrants with dilution using observable variables | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | e8b23aca-9861-499b-b31b-feb5cd8531e9 | |
| relation.isAuthorOfPublication.latestForDiscovery | e8b23aca-9861-499b-b31b-feb5cd8531e9 |