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
Citation
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: https://ink.library.smu.edu.sg/lkcsb_research/1846