Michael B. Imerman

SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features

2024 · The Journal of Derivatives

The authors introduce a Monte Carlo model to value de-SPAC warrants. These warrants contain path-dependent cumulative Parisian redemption features that are ignored by simpler valuation methods. The authors’ model prices basic de-SPAC warrants accurately, provides …