English, Article edition: EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES CHRISTIAN KOZIOL

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Physical Description
  • article
Language
  • English

Edition details

Title
  • EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
Author
  • CHRISTIAN KOZIOL
Physical Description
  • article
Notes
  • In this paper, we analyze the exercise behavior of warrant holders and its impact on warrant values. For this purpose, we propose a parametric model to describing the exercise volume of warrants and calibrate it to exercise data of 40 warrants from the German market. We find that few too-early exercises but also a significant number of too-late exercises occur. This observed exercise behavior results in warrant values that are more than 3% below those under the optimal exercise strategy for at-the-money warrants and the differences are even much higher for in- and out-of-the-money warrants.
  • Early exercise, late exercise, option pricing, transaction costs, Monte Carlo simulation
  • RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:245-268
Language
  • English
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