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.
LIM, Kian Guan and PHOON, Kok Fai.
Testing the Warrant Pricing Model. (1991). Economic Letters. 35, (4), 451-455. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/1846