ZIB

Treffer pro Seite

Treffer 1 - 1 | 1 Treffer

Sortierung

Digitale Medien

Valuation of Callable Warrants (1997)

Burney, ROBERT B. ; Moore, WILLIAM T.

Springer

Review of quantitative finance and accounting 8 (1997), S. 5-18

zur Merkliste hinzufügen auf der Merkliste

Details

ISSN: 1573-7179

Schlagwort(e): Callable warrants ; option pricing ; asset valuation

Quelle: Springer Online Journal Archives 1860-2000

Thema: Wirtschaftswissenschaften

Notizen: Abstract A simple valuation model for callable warrants is derived and tested. The model is expressed in closed form except for one term which can be evaluated numerically. Predictions of 78 warrant prices are compared to market prices and the average error is -.224 percent. By contrast, the Black-Scholes model applied to the same warrants produces an average error of 31.44 percent. Thus the callability feature cannot safely be ignored in determining warrant values.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1023/A:1008225302836

Permalink

Bibliothek	Standort	Signatur	Band/Heft/Jahr	Verfügbarkeit

Andere fanden auch interessant ...

Artikel (Nationallizenzen)

Volltext

Treffer 1 - 1 | 1 Treffer