Author: Evgeny LyandresPublisher:
ISBN:
Category :
Languages : en
Pages : 166
Book Description
Derivation of Warrant Pricing Models by Adjustment of Common Option Pricing Models for Dilution and Their Empirical Testing
Author: Evgeny LyandresWarrant Pricing
Author: Chris VeldPublisher:
ISBN:
Category :
Languages : en
Pages : 38
Book Description
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) there is no conclusive evidence to replace (dividend corrected) models in which a constant volatility is assumed (Black/Scholes (1973) like models) by more complicated models such as the Jump Diffusion or the CEV model; (3) US and German warrants seem to be priced correctly, while deviations are found for Japanese warrants (underpriced by the market) and Swiss and Dutch warrants (overpriced by the market).
Mathematical Modeling And Methods Of Option Pricing
Author: Lishang JiangPublisher: World Scientific Publishing Company
ISBN: 9813106557
Category : Business & Economics
Languages : en
Pages : 343
Book Description
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Mathematical Modeling and Methods of Option Pricing
Author: Lishang JiangPublisher: World Scientific
ISBN: 9812563695
Category : Science
Languages : en
Pages : 344
Book Description
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Option Pricing in the Presence of Warrants
Author: Georgia LekkasPublisher:
ISBN:
Category : Pricing
Languages : en
Pages : 0
Book Description
This study estimates option prices via a recombining binomial tree incorporating the effect of warrant dilution on the capital structure of the firm (Warrant Dilution Option-Pricing model--WDOP). The binomial lattice is constructed on the value of the firm under the assumption of constant volatility of the rate of return of the firm value. The mean percentage prediction error and the mean absolute value of the mean prediction error indicate that the predicted option prices deviate significantly from the observed option prices. The weak predicting performance of the WDOP model doesn't seem to follow a systematic pattern. This is true even when the sample is divided into subcategories based on option moneyness, and option and warrant life. We tested the WDOP model with one parameter, the volatility of the rate of return of the firm value, estimated out-of-sample. We compare the WDOP model with the Black Schole option-pricing model (hereafter B/S) applied to the options without taking into account the equity dilution effect. Finally, we calculate the warrant prices throughout the sample.
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Author: Jian ChenPublisher: Springer
ISBN: 9811074283
Category : Business & Economics
Languages : en
Pages : 163
Book Description
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange
Author: Douglas MacLennan PattersonPublisher:
ISBN:
Category : New York (N.Y.)
Languages : en
Pages : 406
Book Description
Advanced Option Pricing Models
Author: Jeffrey Owen KatzPublisher: McGraw-Hill
ISBN: 9780071626446
Category : Business & Economics
Languages : en
Pages : 452
Book Description
"Advanced Option Pricing Models" details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and "curve fitting," and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
A Comparative Anlysis of Multiple Warrants Pricing Models
Author: Gunyawee TeekathananontPublisher:
ISBN:
Category :
Languages : en
Pages : 110
Book Description
This study investigates three multiple warrant pricing models (the Lim-Terry model, the Darsinos-Satchell model and the Dennis-Rendleman model) and a standard warrant pricing model (the Galai-Schneller model) by using warrant data from the Stock Exchange of Thailand. The multiple warrant pricing models are expected to improve the standard model since the potential dilution effects across warrant series (the subtle slippage effect and the cross-dilution effect) are considered. All of the theoretical warrant values are compared with market prices and with each other. In addition, the pricing error statistics of each model are examined in various situations: in-the-money, at-the-money, out-the-money. The empirical results reveal that all the model tend to overestimate the market prices. The standard model performs worst. The model incorporated with both of the subtle slippage and cross-dilution effects outperform the others and provide best estimates for in-the-money warrants. It is obvious that the dilution effects across warrant series have a profound influence on valuating multiple warrants. Exercising each warrant series results in a decrease in the firm value and hence affects the exercising decision of the other series. Consequently, the subtle slippage effects and the cross-dilution effect should be taken into account when multiple warrants are valued.
Author: Olesia Verchenko