کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481774 | 1446119 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The pricing and optimal strategies of callable warrants
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we introduce a valuation model of callable warrants under a setting of the optimal stopping problem between the holder (investor) and the issuer (firm). A warrant is the right to purchase new shares at a predetermined price. When the new stocks are issued, the value of the stock is diluted. We consider the model taking the dilution into account. After identifying optimal policies for the issuer and the investor, we explore the analytical properties of the optimal exercise and call boundaries for the holder and the issuer, respectively. Furthermore, the value of such a callable warrant and the optimal critical prices are examined numerically using the binomial method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 206, Issue 1, 1 October 2010, Pages 123–130
Journal: European Journal of Operational Research - Volume 206, Issue 1, 1 October 2010, Pages 123–130
نویسندگان
Kyoko Yagi, Katsushige Sawaki,