RT Journal Article
T1 Pricing Levered Warrants with Dilution using Observable Variables
A1 Abínzano, Isabel
A1 F. Navas, Javier
K1 Corporate warrants
K1 Dilution
K1 Leverage
K1 Observable variables
AB We propose a valuation framework for pricing European call warrants on the issuer’s own stock that allows for debt in the issuer firm. In contrast to other works which also price warrants with dilution issued by levered firms, ours uses only observable variables. We extend the models of both Crouhy and Galai (1994) and Ukhov (2004). We provide numerical examples to study some implementation issues and to compare the model with existing ones.
PB Taylor and Francis Ltd.
YR 2013
FD 2013-01-15
LK https://hdl.handle.net/10433/21718
UL https://hdl.handle.net/10433/21718
LA en
NO Quantitative Finance, 13 - 8, pp. 1199 - 1209 (2013)
NO Departamento de Economía Financiera y Contabilidad
DS RIO
RD May 1, 2026