Electronic Resource
Springer
Review of quantitative finance and accounting
8 (1997), S. 5-18
ISSN:
1573-7179
Keywords:
Callable warrants
;
option pricing
;
asset valuation
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1008225302836
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