Warrant pricing using observable variables

Journal of Financial Research

Volumn 27, Issue 3, 2004, Pages 329-339

  Ukhov, Andrey D ^a  

^a INDIANA UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4444376565     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2004.00100.x     Document Type: Article

References (11)

1. Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-59.
2. Crouhy, M. and D. Galai, 1991, Common errors in the valuation of warrants and options on firms with warrants, Financial Analysts Journal 47, 89-90.
3. Galai, D. and M. I. Schneller, 1978, The pricing of warrants and the value of the firm, Journal of Finance 33, 1333-42.
4. Hull, J., 2003, Options, Futures, and Other Derivatives (5th ed.) (Prentice Hall, New York).
5. Ingersoll, J. E., Jr., 1987, Theory of Financial Decision Making (Rowman & Littlefield, Savage, MD).
6. Ingersoll, J. E., Jr., 1994, Financial instruments and contracts: Exotic option contracts, Mimeo, Yale University, School of Management.
7. Phelps, K. L., W. T. Moore, and R. L. Roenfeldt, 1991, Equity valuation effects of warrant-debt financing, Journal of Financial Research 14, 93-103.
8. Schultz, G. U. and S. Trautmann, 1994, Robustness of option-like warrant valuation, Journal of Banking and Finance 18, 841-59.
9. Stoll, H. R. and R. Whaley, 1993, Futures and Options: Theory and Applications (South-Western Publishing, Cincinnati, OH).
10. Veld, C., 2000, Warrant pricing: A review of empirical research, Working paper, www.ssrn.com.
11. Veld, C. and A. Verboven, 1995, An empirical analysis of warrant prices versus long term tall option prices, Journal of Business Finance and Accounting 22, 1125-46.