Pricing levered warrants with dilution using observable variables
Fecha
2013Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1080/14697688.2013.771280
Resumen
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 ...
[++]
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. [--]
Materias
Corporate warrants,
Dilution,
Leverage,
Observable variables
Editor
Taylor & Francis
Publicado en
Quantitative Finance, vol 18, issue 8, 2013
Notas
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
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
The authors acknowledge the financial support of the Spanish Ministry of Economy and Competitiveness (grants ECO2012-35946-C02-01 and ECO2012-34268)