Testing the Warrant Pricing Model
Implied variances from traded call options are used to compute the model prices of warrants issued by the corresponding firms. Several examples show that the model prices do not provide accurate estimates of the actual warrant prices even after accounting for transactions costs.
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Institutional Knowledge at Singapore Management University
1991
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1846 https://doi.org/10.1016/0165-1765(91)90018-G |
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sg-smu-ink.lkcsb_research-28452015-08-04T08:18:28Z Testing the Warrant Pricing Model LIM, Kian Guan PHOON, Kok Fai Implied variances from traded call options are used to compute the model prices of warrants issued by the corresponding firms. Several examples show that the model prices do not provide accurate estimates of the actual warrant prices even after accounting for transactions costs. 1991-04-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/1846 info:doi/10.1016/0165-1765(91)90018-G https://doi.org/10.1016/0165-1765(91)90018-G Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business |
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Asia |
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Singapore Singapore |
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Business LIM, Kian Guan PHOON, Kok Fai Testing the Warrant Pricing Model |
| description |
Implied variances from traded call options are used to compute the model prices of warrants issued by the corresponding firms. Several examples show that the model prices do not provide accurate estimates of the actual warrant prices even after accounting for transactions costs. |
| format |
text |
| author |
LIM, Kian Guan PHOON, Kok Fai |
| author_facet |
LIM, Kian Guan PHOON, Kok Fai |
| author_sort |
LIM, Kian Guan |
| title |
Testing the Warrant Pricing Model |
| title_short |
Testing the Warrant Pricing Model |
| title_full |
Testing the Warrant Pricing Model |
| title_fullStr |
Testing the Warrant Pricing Model |
| title_full_unstemmed |
Testing the Warrant Pricing Model |
| title_sort |
testing the warrant pricing model |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1991 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/1846 https://doi.org/10.1016/0165-1765(91)90018-G |
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1770570040859426816 |