Dynamic Pricing Formulation for Hybrid Equity Warrants (S/O 14193)
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...
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| Main Authors: | , , |
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| Format: | Monograph |
| Language: | English |
| Published: |
UUM
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/31563/1/14193.pdf https://repo.uum.edu.my/id/eprint/31563/ |
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