A Reduced-Form Model for Warrant Valuation
نویسندگان
چکیده
This paper studies warrant valuation using a reduced-form model. Analogous to the credit risk literature, structural models require complete information about the asset value process and the firm’s liabilities. In contrast, reduced-form models require only information about the firm’s stock price process. We introduce a reduced-form model where the warrant holder is a price taker, and we relate our model to structural models appearing in the literature.
منابع مشابه
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Assuming that the underlying stock follows Fractional Brownian motion and that stochastic interest rate meets the Vasicek model of interest rates, this paper establishes pricing model of Warrant Bonds and deduces the pricing formula of Warrant Bonds by utilizing risk-neutral valuation theory. Finally, this paper analyzes influence of concerned parameters of pricing model on the value of Warrant...
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