haku: @indexterm WARRANTS / yhteensä: 25
viite: 15 / 25
| Tekijä: | Hauser, S. Lauterbach, B. |
| Otsikko: | The relative performance of five alternative warrant pricing models |
| Lehti: | Financial Analysts' Journal
1997 : JAN-FEB, VOL. 53:1, p. 55-61 |
| Asiasana: | FINANCIAL ANALYSIS WARRANTS PRICING |
| Kieli: | eng |
| Tiivistelmä: | Five warrant pricing models are examined in this study: a pair based on the Black-Scholes model, a pair based on the constant elasticity of variance (CEV) modification, and an extendible-warrant model (a` la Longstaff). Based on more than 20,000 warrant price observations, the flexible-exponent CEV model generates the lowest average absolute pricing error in most of the warrants examined. The dilution-adjusted Black-Scholes model, however, remains a reasonable, economical alternative in many cases. |
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