Warrant Pricing: A Review of Empirical Research

Chris H. Veld
2001 Social Science Research Network  
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 these studies are: (1) it is not necessary to make a correction on opdon valuation madels for the dilution effect; (2) there is no conclusive evidence to replace (dividend correctcd) models in which a constant volatility is assumed (BlacklScholes (1973) like models) by more complicated models such as the Jump
more » ... usion or the CEV model; (3) US and German warrants seem to be priced correctly, while deviations are found for Japanese warrants (underpriced by the market) and Swiss and Dutch warrants (overpriced by the market).
doi:10.2139/ssrn.5818 fatcat:ml26n5k7ynacvjxnikzzw2p4dq