Title:

Pricing Levered Warrants under the CEV Diffusion Model

Authors:

Carlos Glória (ISCTE - Instituto Universitário de Lisboa, BRU- ISCTE, IUL)
José Carlos Dias (ISCTE - Instituto Universitário de Lisboa, BRU- ISCTE, IUL)
Aricson Cruz (ISCTE - Instituto Universitário de Lisboa, BRU- ISCTE, IUL)

Journal:

Review Of Derivatives Research

Year:

2024

Volume:

27

Number:

1

Pages:

55-84

JEL codes:

C63 - Computational Techniques
G13 - Contingent Pricing; Futures Pricing
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure

DOI:

10.1007/s11147-023-09199-1