Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
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Publication:1619668
DOI10.1016/j.physa.2016.03.100zbMath1400.91647OpenAlexW2337087508MaRDI QIDQ1619668
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
parameter estimationdilution effectequity warrantslog-normal jump-diffusion processpromised lowest price
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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
Cites Work
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