Dynamic Pricing Formulation for Hybrid Equity Warrants (S/O 14193)

• Main Authors: Roslan, Teh Raihana Nazirah, Karim, Sharmila, Jameel, Ali Fareed
• Format: Monograph
• Language: English
• Published: UUM
• Subjects: QA Mathematics
• Online Access: https://repo.uum.edu.my/id/eprint/31563/1/14193.pdf; https://repo.uum.edu.my/id/eprint/31563/

Equity warrants provide the option of purchasing stocks at specific exercise price and time. This study develops hybrid equity warrants’ pricing formula using Heston-CIR model by considering the volatility and interest rate as stochastic processes. Analytical pricing formulas for hybrid equity warra...