The pricing of dollar-denominated yen/DM warrants
研究在美国交易的美元计价交叉货币权证（期权）的定价，推导出欧式权证的封闭式定价公式，分析其与标准外汇期权的差异，并应用于AT&T的日元/德国马克权证，发现标准货币期权模型存在设定错误。
This paper investigates the pricing of dollar-denominated cross-currency warrants (options) traded in US markets. In a Black-Scholes setting, we obtain closed-form option pricing formulas for European warrants. We describe the intuition behind the differences in the properties of these securities versus standard foreign currency options, concentrating on parameter sensitivity as well as hedging aspects. We show that US cross-currency warrants can be hedged using three underlying assets although the fundamental PDE involves only one asset. This analytical framework is applied to observed prices for AT&T's NYSE-traded US yen/DM cross-currency warrant. We examine and attempt to explain the deviations between model and observed prices uncovered by the empirical work. We find evidence of misspecification in standard currency option-pricing models..