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https://scholarbank.nus.edu.sg/handle/10635/45237
| Title: | Testing the warrant pricing model | Authors: | Lim, K.-G. Phoon, K.-F. |
Issue Date: | 1991 | Citation: | Lim, K.-G.,Phoon, K.-F. (1991). Testing the warrant pricing model. Economics Letters 35 (4) : 451-455. ScholarBank@NUS Repository. | Abstract: | Implied variances from traded call options are used to compute the model prices of warrants issued by the corresponding firms. Several examples show that the model prices do not provide accurate estimates of the actual warrant prices even after accounting for transactions costs. © 1991. | Source Title: | Economics Letters | URI: | http://scholarbank.nus.edu.sg/handle/10635/45237 | ISSN: | 01651765 |
| Appears in Collections: | Staff Publications |
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