Title

Testing the Warrant Pricing Model

Publication Type

Journal Article

Publication Date

4-1991

Abstract

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.

Discipline

Business

Research Areas

Finance

Publication

Economic Letters

Volume

35

Issue

4

First Page

451

Last Page

455

ISSN

0165-1765

Identifier

10.1016/0165-1765(91)90018-G

Publisher

Elsevier