EconPapers    
Economics at your fingertips  
 

Pricing levered warrants with dilution using observable variables

Isabel Abinzano () and Javier Navas ()

Quantitative Finance, 2013, vol. 13, issue 8, 1199-1209

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 that also price warrants with dilution issued by levered firms, ours uses only observable variables. Thus, we extend the models of Crouhy and Galai [ J. Bank. Finance , 1994, 18 , 861--880] and Ukhov [ J. Financ. Res. , 2004, 27 (3), 329--339]. We provide numerical examples to study some implementation issues and to compare the model with existing ones.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2013.771280 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:13:y:2013:i:8:p:1199-1209

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-04-23
Handle: RePEc:taf:quantf:v:13:y:2013:i:8:p:1199-1209