Hybrid equity warrants pricing formulation under stochastic dynamics
—A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, s...
Saved in:
Main Authors: | Roslan, Teh Raihana Nazirah, Ibrahim, Siti Zulaiha, Karim, Sharmila |
---|---|
Format: | Article |
Language: | English |
Published: |
International Journal of computer and information engineering (WASET)
2020
|
Subjects: | |
Online Access: | http://repo.uum.edu.my/27989/1/ISSRI%2014%2011%202020%20133%20136.pdf http://repo.uum.edu.my/27989/ https://publications.waset.org/10011597/hybrid-equity-warrants-pricing-formulation-under-stochastic-dynamics |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Modeling the price of hybrid equity warrants under stochastic volatility and interest rate
by: Roslan, Teh Raihana Nazirah, et al.
Published: (2020) -
A comprehensive literature review on pricing equity warrants using stochastic approaches
by: Ibrahim, Siti Zulaiha, et al.
Published: (2020) -
Dynamic hybrid pricing formulation for equity warrants
by: Ibrahim, Siti Zulaiha
Published: (2022) -
Pricing variance swaps under stochastic volatility and stochastic interest rate
by: Cao, Jiling, et al.
Published: (2016) -
On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
by: Roslan, Teh Raihana Nazirah
Published: (2017)