Option pricing in the presence of warrants
This study estimates option prices via a recombining binomial tree incorporating the effect of warrant dilution on the capital structure of the firm (Warrant Dilution Option-Pricing model--WDOP). The binomial lattice is constructed on the value of the firm under the assumption of constant volatility...
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| Format: | Others |
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2002
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| Online Access: | http://spectrum.library.concordia.ca/1747/1/MQ72895.pdf Lekkas, Georgia <http://spectrum.library.concordia.ca/view/creators/Lekkas=3AGeorgia=3A=3A.html> (2002) Option pricing in the presence of warrants. Masters thesis, Concordia University. |