Warrant pricing: a review of empircal research

Veld, C. (2003) Warrant pricing: a review of empircal research. European Journal of Finance, 9(1), pp. 61-91. (doi: 10.1080/13518470110047648)

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Abstract

Recently, several warrant pricing studies have become available for different models as well as for different countries. The most important conclusions that can be drawn from reviewing these 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; (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).

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Veld, Professor Chris
Authors: Veld, C.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:European Journal of Finance
ISSN:1351-847X
ISSN (Online):1466-4364
Published Online:19 March 2012

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