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An empirical analysis of warrant prices versus long term call option prices

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  • Veld, C.H.
  • Verboven, A.H.F.

    (Tilburg University, Faculty of Economics and Business Administration)

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Bibliographic Info

Paper provided by Tilburg University, Faculty of Economics and Business Administration in its series Research Memorandum with number 594.

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Date of creation: 1993
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Handle: RePEc:dgr:kubrem:1993594

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Web page: http://www.tilburguniversity.edu/nl/over-tilburg-university/schools/economics-and-management/

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  1. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(04), pages 533-554, November.
  2. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  4. Beckers, Stan, 1980. " The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-73, June.
  5. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  6. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  7. Galai, Dan & Schneller, Meir I, 1978. "Pricing of Warrants and the Value of the Firm," Journal of Finance, American Finance Association, vol. 33(5), pages 1333-42, December.
  8. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
  9. Lauterbach, Beni & Schultz, Paul, 1990. " Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives," Journal of Finance, American Finance Association, vol. 45(4), pages 1181-209, September.
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Cited by:
  1. F. De Roon & C. Veld & J. Wei, 1998. "A study on the efficiency of the market for Dutch long-term call options," The European Journal of Finance, Taylor & Francis Journals, vol. 4(2), pages 93-111.

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