Issuer credit ratings and warrant-pricing errors

Ming Hsien Chen, Yin Feng Gau, Vivian Tai

研究成果: 雜誌貢獻期刊論文同行評審

摘要

This paper examines how issuer credit relates to the level of warrant-pricing errors in Taiwan. The results demonstrate that the premia of warrants with high credit ratings have fewer pricing errors, implying that warrants with higher credit ratings are more fairly priced in terms of the Black-Scholes model. Using more parameters than in traditional option-pricing models, this study contributes to the literature by demonstrating that the credit ratings of warrant issuers have a critical impact on the prices of covered warrants.

原文???core.languages.en_GB???
頁(從 - 到)35-46
頁數12
期刊Emerging Markets Finance and Trade
49
發行號SUPPL.3
DOIs
出版狀態已出版 - 1 7月 2013

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