Hostname: page-component-745bb68f8f-v2bm5 Total loading time: 0 Render date: 2025-01-13T07:50:52.150Z Has data issue: false hasContentIssue false
  • English
  • Français

Analysis of the Warrant Hedge in a Stable Paretian Market

Published online by Cambridge University Press:  19 October 2009

Jimmy E. Hilliard  and
Robert A. Leitch
Get access Rights & Permissions [Opens in a new window]

Extract

A stock purchase warrant gives the owner the option to buy some predetermined number of shares of the associated common stock at a specified price over a stipulated time period. The specified price is called the exercise price of the warrant. The stipulated time period is quite variable, though the life of a typical warrant will exceed five years.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 1 , March 1977 , pp. 85 - 103
Copyright
Copyright © School of Business Administration, University of Washington 1977

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Bachelier, L. In The Random Character of Stock Market Prices, edited by Cootner, Paul H.. Cambridge: M.I.T. Press, 1964.Google Scholar
[2]Black, Fischer, and Scholes, Myron. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, Vol. 81 (May/June 1973), pp. 637–654.CrossRefGoogle Scholar
[3]Black, Fischer. “The Valuation of Option Contracts and a Test of Market Efficiency.” Journal of Finance, Vol. 27 (May 1972), pp. 399–417.CrossRefGoogle Scholar
[4]Fama, Eugene. “Mandelbrot and the Stable Paretian Hypothesis.” Journal of Business, Vol. 36 (1963), pp. 420–429.CrossRefGoogle Scholar
[5]Fama, Eugene. “The Behavior of Stock-Market Prices.” Journal of Business, Vol. 38 (January 1965), pp. 34–105.CrossRefGoogle Scholar
[6]Fama, Eugene, and Roll, Richard. “Some Properties of Symmetric Stable Distributions.” Journal of the American Statistical Association, Vol. 63 (September 1968), pp. 817–836.Google Scholar
[7]Fama, Eugene. “Parameter Estimates for Symmetric Stable Distributions.” Journal of the American Statistical Association, Vol. 66 (June 1971), pp. 331–338.CrossRefGoogle Scholar
[8]Fieletz, B. D., and Smith, E. W.. “Asymmetric Stable Distributions of Stock Price Changes.” Journal of the American Statistical Association, Vol. 67 (December 1972), pp. 813–814.CrossRefGoogle Scholar
[9]Gnedenko, B. B., and Kolmagorov, A. N.. Limit Distribution for Sums of Independent Random Variables, translated from Russian by Chang, K. L.. Reading, Mass.: Addison-Wesley, 1954.Google Scholar
[10]Holcomb, E. W. “Estimating Parameters of Stable Distributions with Application to Nonlife Insurance.” Unpublished Ph.D. dissertation, University of Tennessee, 1973.Google Scholar
[11]Kassouf, Sheen T. “Stock Price Random Walks: Some Supporting Evidence.” Review of Economics and Statistics, Vol. 50 (May 1968).CrossRefGoogle Scholar
[12]Leitch, Robert A., and Paulson, Albert S.. “Estimation of Stable Law Parameters: Stock Price Behavior Application.” Journal of the American Statistical Association, Vol. 70 (September 1975), pp. 690–697.Google Scholar
[13]Levy, R. A. “Random Walks: Reality or Myth?” Financial Analysts Journal, Vol. 24 (January–February 1968), pp. 129–132.CrossRefGoogle Scholar
[14]Lukacs, Eugene. Characteristic Functions. Darien: Hafner, 1970.Google Scholar
[15]Mandelbrot, Benoit. “The Variation of Speculative Prices.” Journal of Business, Vol. 36 (October 1963), pp. 394–419.CrossRefGoogle Scholar
[16]Merton, Robert C. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4 (Spring 1973), pp. 141–183.Google Scholar
[17]Osborne, M. F. M. “Brownian Motion in the Stock Market.” Operations Research, Vol. 7 (1959), pp. 145–173.CrossRefGoogle Scholar
[18]Paulson, Albert S.; Holcomb, Edward W.; and Leitch, Robert A.. “The Estimation of the Parameters of the Stable Laws.” Biometrika, Vol. 62 (April 1975), pp. 163–170.CrossRefGoogle Scholar
[19]Press, S. James. “Estimation in Univariate and Multivariate Stable Distributions.” Journal of the American Statistical Association, Vol. 67 (December 1972), pp. 842–846.CrossRefGoogle Scholar
[20]Samuelson, Paul A. “Rational Theory of Warrant Pricing.” Industrial Management Review, Vol. 6 (Spring 1965), pp. 13–39.Google Scholar
[21]Thorp, Edward O., and Kassouf, Sheen T.. Beat the Market. N.Y.: Random House, 1967.Google Scholar
[22]Zolotarev, V. M. “On Representation of Stable Laws by Integrals.” Selected Translations in Mathematical Statistics and Probability, Vol. 6 (1966), pp. 84–85.Google Scholar