Zur Optionsscheinbewertung mit Rücksicht auf die Kapitalverwässerung bei der Ausübung
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Zur Optionsscheinbewertung mit Rücksicht auf die Kapitalverwässerung bei der Ausübung
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 2 : pp. 268–290
Additional Information
Article Details
Author Details
Hermann Naust, Saarbrücken
References
-
Black, Fischer und Scholes, Myron: The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81 (1973), S. 637 - 654.
Google Scholar -
Cox, John C. und Rubinstein, Mark: Option Markets, Englewood Cliffs, N. J. 1985.
Google Scholar -
Cox, John C., Ross, Stephen A. und Rubinstein, Mark: Option Pricing: A Simplified Approach, Journal of Financial Economics, Vol. 7 (1979), S. 229 - 263.
Google Scholar -
Ferri, Michael G., Kremer, Joseph W. und Oberhelman, H. Dennis: An Analysis of the Pricing of Corporate Warrants, in: Advances in Futures and Options Research, Vol. 1, Part A (Hrsg.: Fabozzi, F. J.), Greenwich, Ct., London 1986, S. 201 - 226.
Google Scholar -
Galai, Dan und Schneller, Meir I.: Pricing of Warrants and the Value of the Firm, The Journal of Finance, Vol. XXXIIH (1978), S. 1333 - 1342.
Google Scholar -
Hull, John: Options, Futures, and Other Derivative Securities, Englewood Cliffs, N. J. 1989.
Google Scholar -
Naust, Hermann: Bewertung langlaufender Aktienoptionen und Ertragsteuern, Manuskript Saarbrücken 1993.
Google Scholar -
Watsham, Terry J.: Options and Futures in International Portfolio Management, London 1992.
Google Scholar
Abstract
Evaluation of Warrants bearing in Mind the Dilution of Capital when exercised
In practice, the difference between stock options and covered warrants on the one hand and warrants directly issued by public limited companies on the other is ignored in most cases, although it ought to be borne in mind that, when evaluating the latter, exercising warrants results in capital dilution and, thus, in an erosion of their own value. This analysis verifies the solution to be found in the literature for European call warrants. Subsequently, it develops an approximation formula permitting simple evaluation on the basis of the parameters and index figures customarily available. Where several types of directly issued warrants are involved, this analysis demonstrates the interdependencies that exist between evaluations of stock and evaluations of any of the other types of warrants. Here, the author makes the pragmatic proposal to ignore such other types of warrants.