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The valuation of warrants: Implementing a new approach

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  • Schwartz, Eduardo S.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 4 (1977)
    Issue (Month): 1 (January)
    Pages: 79-93

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    Handle: RePEc:eee:jfinec:v:4:y:1977:i:1:p:79-93

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
    2. Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2012. "Time is Running Out: The 2°C Target and Optimal Climate Policies," SIRE Discussion Papers 2012-17, Scottish Institute for Research in Economics (SIRE).
    3. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    4. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
    5. Murillas Maza, Arantza, 2000. "Uncertainty and Real Options. Investment and Development of Fishing Resources (II)," BILTOKI 2000-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    6. Hasan , Iftekhar & Sarkar, Sudipto, 2002. "Banks’ option to lend, interest rate sensitivity, and credit availability," Research Discussion Papers 15/2002, Bank of Finland.
    7. Phelim Boyle & Yisong Tian, 1998. "An explicit finite difference approach to the pricing of barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 17-43.
    8. Nan Zhang & Alet Roux & Tomasz Zastawniak, 2011. "Parallel Binomial American Option Pricing with (and without) Transaction Costs," Papers 1110.2477, arXiv.org.
    9. Qasim Nasar-Ullah, 2013. "A parallel implementation of a derivative pricing model incorporating SABR calibration and probability lookup tables," Papers 1301.3118, arXiv.org.
    10. Manuel Moreno & Javier R. Navas, 2001. "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra.
    11. Francesc Llerena-Garrés, 2000. "Una nota sobre valoración de opciones americanas y arbitraje," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 207-218, January.
    12. George Chacko & Peter Tufano & Geoffrey Verter, 2000. "Cephalon, Inc. Taking Risk Management Theory Seriously," NBER Working Papers 7748, National Bureau of Economic Research, Inc.
    13. Zhongdi Cen & Anbo Le & Aimin Xu, 2012. "A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing," Computational Economics, Society for Computational Economics, vol. 40(1), pages 49-62, June.
    14. Mark Broadie & Jérôme B. Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO.
    15. Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "An empirical test of the BS and CSR valuation models for warrants listed in Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 465-483, December.
    16. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
    17. Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany.
    18. Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar, 2013. "An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection," Resources Policy, Elsevier, vol. 38(2), pages 212-223.

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