WARRANT PRICING USING OBSERVABLE VARIABLES
经典权证定价公式需要公司价值和价值波动率，但两者在权证存续期间不可观测。本文提出一种仅用股票价格和股票收益波动率等可观测变量来定价权证的算法，同时还能估计公司价值波动率，并证明了解的存在性。
Abstract The classical warrant pricing formula requires knowledge of the firm value and of the firm‐value process variance. When warrants are outstanding, the firm value itself is a function of the warrant price. Firm value and firm‐value variance are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and stock return variance. The method also enables estimation of firm‐value variance. A proof of existence of the solution is provided.