haku: @indexterm OPTION VALUATION / yhteensä: 37
viite: 8 / 37
| Tekijä: | Veld, C. |
| Otsikko: | Warrant pricing: a review of empirical research |
| Lehti: | European Journal of Finance
2003 : DEC, VOL. 8:4, p. 61-91 |
| Asiasana: | Option prices Option valuation Warrants |
| Kieli: | eng |
| Tiivistelmä: | The most important conclusion that can be drawn from reviewing numerous recent warrant pricing studies are: 1) it is not necessary to make a correction on option valuation models for the dilution effect, 2) the only model that systematically outperforms the Black-Scholes (1973) type models is the Square Root model and 3) US and German warrants seem to be priced correctly, while deviations are found for English and Japanese warrants (underpriced by the market) and Swiss and Dutch warrants (overpriced by the market). |
SCIMA