Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/31172
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Glória, C. M. | - |
dc.contributor.author | Dias, J. C. | - |
dc.contributor.author | Cruz, A. | - |
dc.date.accessioned | 2024-02-23T13:58:33Z | - |
dc.date.available | 2024-02-23T13:58:33Z | - |
dc.date.issued | 2024 | - |
dc.identifier.citation | Glória, C. M., Dias, J. C., & Cruz, A. (2024). Pricing levered warrants under the CEV diffusion model. Review of Derivatives Research, 27(1), 55-84. https://doi.org/10.1007/s11147-023-09199-1 | - |
dc.identifier.issn | 1380-6645 | - |
dc.identifier.uri | http://hdl.handle.net/10071/31172 | - |
dc.description.abstract | Much of the work on the valuation of levered (and unlevered) warrants assumes that the volatility of the underlying state variable is constant. This paper extends the literature on warrant pricing to a more general assumption for the state variable process, the so-called constant elasticity of variance (CEV) process. The CEV model is well-known for its ability to capture some empirical observations found in the financial economics literature, namely the asymmetry between equity returns and volatility and the implied volatility skew. Using the CEV process, we are able to reduce pricing bias as the volatility becomes a function of the underlying state variable. We price European-style call warrants without restrictions on the debt maturity. When warrants have the same maturity as debt, it is possible to obtain closed-form solutions for warrants prices. When the maturity of warrants is different from the maturity of debt, prices can be computed numerically through very efficient and simple to implement valuation methodologies. | eng |
dc.language.iso | eng | - |
dc.publisher | Springer Verlag | - |
dc.relation | info:eu-repo/grantAgreement/FCT/OE/2022.11993.BD/PT | - |
dc.rights | openAccess | - |
dc.subject | CEV model | eng |
dc.subject | Warrants | eng |
dc.subject | Dilution | eng |
dc.subject | Debt | eng |
dc.subject | Volatility | eng |
dc.title | Pricing levered warrants under the CEV diffusion model | eng |
dc.type | article | - |
dc.pagination | 55 - 84 | - |
dc.peerreviewed | yes | - |
dc.volume | 27 | - |
dc.number | 1 | - |
dc.date.updated | 2024-03-26T11:56:04Z | - |
dc.description.version | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.doi | 10.1007/s11147-023-09199-1 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-100312 | - |
iscte.alternateIdentifiers.wos | WOS:WOS:001140035400001 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-85181972610 | - |
iscte.journal | Review of Derivatives Research | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Tamanho | Formato | |
---|---|---|---|
article_100312.pdf | 1,44 MB | Adobe PDF | Ver/Abrir |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.