During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Units are bundles of common stock and warrants. By selling initial public offerings (IPOs) of
units, firms precommit to sell more stock in the future at the warrant's exercise price …

This study investigates whether investors incorporate the value of a firm's outstanding
employee stock options into its stock price. I estimate the outstanding options' value for a …

Abstract The Chicago Board Options Exchange (CBOE) recently redesigned its widely
followed VIX volatility index. While the new VIX is conceptually more appealing than its …

Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …

Recently, several warrant pricing studies have become available for different models as well
as for different countries. The most important conclusions that can be drawn from reviewing …

This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian
environment. Based on the quasi-conditional expectation and the Fourier transform, we …

We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high
coupon payments. In exchange, the issuer has an option at the maturity date to either …

This paper presents a methodology for arriving at the unobserved asset value and its
volatility of a firm with outstanding warrants. This enables us to price warrants correctly and …

This paper provides a method for pricing options in the constant elasticity of variance (CEV)
model environment using the Lie-algebraic technique when the model parameters are time …