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- W2181556688 abstract "The existing bibliography supports the notion that warrant prices depend on the credit risk of the warrant issuer. The purpose of this paper is to value warrants taking into account their issuer’s credit risk. We distinguish two types of warrants depending on whether the exercise of the warrant implies dilution of the firm’s equity. On the one hand, for pricing warrants with dilution, we extend Ukhov’s (2004) model. On the other hand, for valuing warrants without dilution we propose to apply the pricing model for vulnerable options developed in Hull and White (1995). Finally, in order to study the implementation of the expressions we propose, we apply them to price some warrants in the Spanish market." @default.
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- W2181556688 date "2007-01-01" @default.
- W2181556688 modified "2023-09-27" @default.
- W2181556688 title "Warrant pricing with credit risk" @default.
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