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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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1991
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/1846 https://doi.org/10.1016/0165-1765(91)90018-G |
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