de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1994
This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the...