PRICING CROSS-CURRENCY PUT WARRANTS: SOME EMPIRICAL EVIDENCE

K. C. Chen, Barry Laiss, and R. Stephen Sears

The newly created AT&T cross-currency put warrant represents a recent innovation in security development. This new security enables U.S. investors to hedge or speculate on the movements between the Japanese Yen and the Deutsche Mark. Understanding the pricing behavior of this new security provides investors and the issuer with valuable information to assess potential benefits and costs. Using two alternative pricing models, the empirical results indicate small pricing errors.