論文

査読有り
2010年10月

The pricing and optimal strategies of callable warrants

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
  • Kyoko Yagi
  • ,
  • Katsushige Sawaki

206
1
開始ページ
123
終了ページ
130
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.ejor.2010.02.002
出版者・発行元
ELSEVIER SCIENCE BV

In this paper, we introduce a valuation model of callable warrants under a setting of the optimal stopping problem between the holder (investor) and the issuer (firm). A warrant is the right to purchase new shares at a predetermined price. When the new stocks are issued, the value of the stock is diluted. We consider the model taking the dilution into account. After identifying optimal policies for the issuer and the investor, we explore the analytical properties of the optimal exercise and call boundaries for the holder and the issuer, respectively. Furthermore, the value of such a callable warrant and the optimal critical prices are examined numerically using the binomial method. (C) 2010 Elsevier BM. All rights reserved.

Web of Science ® 被引用回数 : 5

リンク情報
DOI
https://doi.org/10.1016/j.ejor.2010.02.002
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000277553400014&DestApp=WOS_CPL
ID情報
  • DOI : 10.1016/j.ejor.2010.02.002
  • ISSN : 0377-2217
  • Web of Science ID : WOS:000277553400014

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