Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates

QR Code

Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates

A warrant is a derivative that gives the right, but not the obligation, to buy or sell a security at a certain price before the expiration. The warrant valuation method was inspired by option valuation because of the certain similarities between these two derivatives. The warrant price formula und...

Full description

Bibliographic Details
Main Authors:	Ibrahim, S. N. I., Sawal, A. S., Roslan, T. R. N.
Format:	Article
Language:	English
Published:	Lviv Polytechnic National University 2022
Online Access:	http://psasir.upm.edu.my/id/eprint/102890/ http://psasir.upm.edu.my/id/eprint/102890/1/102890.pdf

Similar Items

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process
by: Liu, Xudong
Published: (2014)

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
by: S. N. I., Ibrahim, et al.
Published: (2022)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
by: Li, S., et al.
Published: (2014)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Pricing Of Annuities With Guaranteed Minimum Withdrawal Benefits Under Stochastic Interest Rates
by: Khow, Weai Chiet
Published: (2016)

Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
by: Zhang, Y., et al.
Published: (2020)

The pricing efficiency of equity warrants: a Malaysian case
by: Haron, Razali
Published: (2006)

Pricing holder-extendable call options with mean-reverting stochastic volatility
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)

Modeling the price of hybrid equity warrants under stochastic volatility and interest rate
by: Roslan, Teh Raihana Nazirah, et al.
Published: (2020)

Stochastic stability of discrete-time Markovian jump antilinear systems
by: Qian, Y., et al.
Published: (2014)

Gain-scheduled fault detection on stochastic nonlinear systems with partially known transition jump rates
by: Yin, YanYan, et al.
Published: (2012)

A study of optimization problems involving stochastic systems with jumps
by: Liu, Chunmin
Published: (2008)

Stochastic stability for discrete-time antilinear systems with Markovian jumping parameters
by: Wu, A., et al.
Published: (2015)

Pricing holder-extendable options in a stochastic volatility model with an Ornstein-Uhlenbeck process
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2017)

Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility
by: Li, S., et al.
Published: (2017)

Finite-time gain-scheduled control on stochastic bioreactor systems with partially known transition jump rates
by: Yin, YanYan, et al.
Published: (2011)

The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
by: Haron, Razali
Published: (2006)

Gharar and mispricing of equity warrants, Malaysian evidence
by: Haron, Razali
Published: (2014)

Stochastic stability analysis of integral non-homogeneous Markov jump systems
by: Yin, YanYan, et al.
Published: (2017)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
by: Zahid, Mamoona, et al.
Published: (2020)

Pricing European call options with interval-valued volatility and interest rate
by: Wang, Song
Published: (2024)

Nonparametric specification tests for stochastic volatility models based on volatility density
by: Zu, Yang
Published: (2015)

An empirical test of implied volatility in Singaporean structured warrants
by: Samsudin, Najmi Ismail Murad, et al.
Published: (2018)

Stochastic stability analysis of periodic uncertain markov jump systems with partially known information
by: Zhu, L., et al.
Published: (2017)

Robust fault detection for discrete-time stochastic systems with non-homogeneous jump processes
by: Yin, Y., et al.
Published: (2014)

The effects of crude oil price volatility, stock price, exchange rate and interest rate on Malaysia’s economic growth
by: Rahim, Farah, et al.
Published: (2020)

Pricing warrant by using binomial model : comparison between historical and implied volatility / Muhammad Nasruddeen Mazlan
by: Mazlan, Muhammad Nasruddeen
Published: (2020)

Stochastic Models of Crude Oil Prices and Their Applications on Option Pricing
by: Cao, Hang
Published: (2015)

A new approach for istijrar valuation under stochastic volatility
by: Bayram, Kamola, et al.
Published: (2014)

Intraday Price And Volume Relations In The Stock And Warrant Markets
by: LIM, KOK SEE
Published: (2004)

A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
by: Zhou, Y., et al.
Published: (2013)

On the implied market price of risk under the stochastic numéraire
by: Dokuchaev, Nikolai
Published: (2018)

Hybrid equity warrants pricing formulation under stochastic dynamics
by: Roslan, Teh Raihana Nazirah, et al.
Published: (2020)

Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
by: Khairul Anuar, Khairul Nizam
Published: (2019)

Portfolio single index (PSI) multivariate conditional and stochastic volatility models
by: Asai, M., et al.
Published: (2008)

A review on Black-Scholes model in pricing warrants in Bursa Malaysia
by: Indra Gunawan, Nur Izzaty Ilmiah, et al.
Published: (2016)

Pricing warrant by using binomial model: comparison between historical and implied volatility / Khairu Azlan Abd Aziz … [et al.]
by: Abd Aziz, Khairu Azlan, et al.
Published: (2020)

Stochastic Taylor Methods for Stochastic Delay Differential Equations
by: Norhayati, Rosli, et al.
Published: (2013)

Derivation of stochastic Taylor methods for stochastic differential equations
by: Noor Amalina Nisa, Ariffin, et al.
Published: (2017)