Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model

DOI10.1016/J.PHYSA.2016.03.100zbMath1400.91647OpenAlexW2337087508MaRDI QIDQ1619668

Xi-Li Zhang, Wei-Lin Xiao

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.03.100

zbMATH Keywords

parameter estimationdilution effectequity warrantslog-normal jump-diffusion processpromised lowest price

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

Stochastic pricing formulation for hybrid equity warrants ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Default probability of American lookback option in a mixed jump-diffusion model

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