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A Model of Warrant Pricing in a Dynamic Market

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  • Chen, Andrew H Y

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  • Chen, Andrew H Y, 1970. "A Model of Warrant Pricing in a Dynamic Market," Journal of Finance, American Finance Association, vol. 25(5), pages 1041-1059, December.
    • Handle: RePEc:bla:jfinan:v:25:y:1970:i:5:p:1041-59
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    Cited by:

    1. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
    2. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, August.
    3. José Eduardo Correia & João Duque, 2008. "Dilution and Dividend Effects on the Portuguese Equity Warrants Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 161-192.
    4. G. Dorfleitner & J. Gerer, 2020. "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, vol. 23(1), pages 85-119, April.
    5. Hyuna Park, 2022. "Warrants in the financial management decisions of innovative firms," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 276-295, February.
    6. Ben-Ameur, Hatem & Breton, Michele & Francois, Pascal, 2006. "A dynamic programming approach to price installment options," European Journal of Operational Research, Elsevier, vol. 169(2), pages 667-676, March.
    7. David C. Nachman, 1972. "On Risk Aversion and Optimal Stopping," Discussion Papers 26, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

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