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Equilibrium exercise of European warrants

  • Nikunj Kapadia

    ()

  • Gregory Willette

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File URL: http://hdl.handle.net/10.1007/s11147-011-9072-7
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Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 15 (2012)
Issue (Month): 2 (July)
Pages: 129-156

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Handle: RePEc:kap:revdev:v:15:y:2012:i:2:p:129-156
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102989

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  1. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
  2. Stein, Jeremy C., 1992. "Convertible bonds as backdoor equity financing," Journal of Financial Economics, Elsevier, vol. 32(1), pages 3-21, August.
  3. Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, . "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 1-96, Wharton School Rodney L. White Center for Financial Research.
  4. Constantinides, George M. & Rosenthal, Robert W., 1984. "Strategic analysis of the competitive exercise of certain financial options," Journal of Economic Theory, Elsevier, vol. 32(1), pages 128-138, February.
  5. Darsinos, T. & Satchell, S.E., 2002. "On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options," Cambridge Working Papers in Economics 0218, Faculty of Economics, University of Cambridge.
  6. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  7. Christian Koziol, 2006. "Optimal exercise strategies for corporate warrants," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 37-54.
  8. Lewis, Craig M., 1991. "Convertible debt: Valuation and conversion in complex capital structures," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 665-682, June.
  9. Schulz, G. Uwe & Trautmann, Siegfried, 1994. "Robustness of option-like warrant valuation," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 841-859, October.
  10. Green, Richard C., 1984. "Investment incentives, debt, and warrants," Journal of Financial Economics, Elsevier, vol. 13(1), pages 115-136, March.
  11. Constantinides, George M., 1984. "Warrant exercise and bond conversion in competitive markets," Journal of Financial Economics, Elsevier, vol. 13(3), pages 371-397, September.
  12. Spatt, Chester S & Sterbenz, Frederic P, 1988. " Warrant Exercise, Dividends, and Reinvestment Policy," Journal of Finance, American Finance Association, vol. 43(2), pages 493-506, June.
  13. Wolfgang B├╝hler & Christian Koziol, 2002. "Valuation Of Convertible Bonds With Sequential Conversion," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 54(4), pages 302-334, October.
  14. 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.
  15. Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December.
  16. Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. " General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December.
  17. Emanuel, David C., 1983. "Warrant valuation and exercise strategy," Journal of Financial Economics, Elsevier, vol. 12(2), pages 211-235, August.
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