An extention of Samuelson's warrant valuation model and its application to Japanese data |
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Authors: | Masafumi Takahashi |
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Institution: | 1. Department of Industrial Engineering and Management, Tokyo Institute of Technology, ?okayama, Meguro-Ku, 152, Tokyo, Japan
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Abstract: | It is well known among warrant traders that the Black & Scholes model cannot be directly used for warrant and convertible
bond valuation.
In this paper, a new warrant valuation model based on both the Samuelson and the Barone-Adesi & Whaley model is proposed,
and the model is applied to convertible bond valuation. Our model is an extension of Samuelson's perpertual warrant model,
whose parameters depend on stock price, volatility, term to maturity and interest rate. |
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Keywords: | Samuelson's perpetual warrant model Barone-Adesi and Whaley's numerical method Margrave's exchange option optimal conversion price |
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