Pricing levered warrants with dilution using observable variables
- Abínzano Guillén, María Isabel
- F. Navas, Javier
ISSN: 1988-8767
Argitalpen urtea: 2009
Zenbakia: 450
Mota: Laneko dokumentua
Beste argitalpen batzuk: Documentos de Trabajo FUNCAS
Laburpena
We propose a valuation framework for pricing European call warrants on the issuer's own stock, allowing for the possibility of the issuer firm being debt-financed. 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.