Warrant pricing: a review of empirical research
Year: 2003
Type: article
Abstract: Recently several warrant pricing studies have become available for different models as well as for different countries. The most important conclusions that can be drawn from reviewing these studies are: (1) it is not necessary to make a correction on option valuation models for the dilution effect; (2) there is no conclusive evidence to replace (dividend corrected) models in which a constant volatility is assumed (Black/Scholes (1973) like models) by more complicated models such as the Jump Diffusion or the CEV model; (3) US and German warrants seem to be priced correctly, while deviations are found for Japanese warrants (underpriced by the market) and Swiss and Dutch warrants (overpriced by the market).
Source: European Journal of Finance
Author: Chris Veld
Institution: Tilburg University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3123924865