Issuer credit ratings and warrant-pricing errors

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104917

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104917

Title:	Issuer credit ratings and warrant-pricing errors
Authors:	高櫻芬;Chen, Ming-Hsien;Gau, Yin-Feng;Tai, Vivian W.
Contributors:	管理學院財務金融學系
Keywords:	covered warrants;Credit ratings;Error analysis;Mathematical models;pricing errors;Securities prices;Stochastic models;Studies;Warrants
Date:	2013-07-01
Issue Date:	2026-04-23 12:01:29 (UTC+8)
Publisher:	M.E. Sharpe Inc.;Abingdon: Routledge
Abstract:	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. 出版者： Abingdon: Routledge 出版日期： 2013-07-01 出處： Emerging markets finance & trade, 2013-07, Vol.49 (sup3), p.35-46 資源來源： JSTOR Arts and Sciences X 版權： Copyright Taylor & Francis Group, LLC 2013 版權： Copyright © 2013 M.E. Sharpe, Inc. 版權： Copyright M. E. Sharpe Inc. Sep 2013 識別號： ISSN: 1540-496X 識別號： EISSN: 1558-0938 識別號： DOI: 10.2753/REE1540-496X4904S303
Appears in Collections:	[Department of Finance] journal & Dissertation

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