Warrant Pricing: Jump-Diffusion vs. Black-Scholes
比较了经稀释调整的布莱克-舒尔斯模型和跳跃扩散模型在认股权证定价中的表现，发现布莱克-舒尔斯模型估计更高效，而跳跃扩散模型偏差更小，尤其适用于价外认股权证或股价跳跃频繁的股票。
This paper investigates the warrant pricing abilities of dilution-adjusted versions of the Black-Scholes and Jump-Diffusion option pricing models. Because of the typically long lives of warrants, their pricing is hypothesized to benefit from use of the Jump-Diffusion model, which relaxes the Black-Scholes restriction against stock price jumps. Empirical results indicate that while the Black-Scholes model almost uniformly provides more efficient estimates, the Jump-Diffusion model generally provides less biased estimates of market value. Particularly for the valuation of out-of-the-money warrants and warrants on stocks with a history of large and/or frequent jumps, the Jump-Diffusion model may be preferred.