Stochastic pricing formulation for hybrid equity warrants

DOI10.3934/MATH.2022027MaRDI QIDQ2129745zbMATH OpenOpenAlexFDO

Authors Teh Raihana Nazirah Roslan, Sharmila Karim, Siti Zulaiha Ibrahim, Ali F. Jameel, Zainor Ridzuan Yahya

Publication date 25 April 2022

Published in AIMS Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/math.2022027

zbMATH Keywords

equity warrantsHeston-CIR modelhybrid modelstochastic interest ratestochastic volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An affine multicurrency model with stochastic volatility and stochastic interest rates
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• Equity warrants pricing problem of mean-reverting model in uncertain environment
• Full and fast calibration of the Heston stochastic volatility model
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Long-term returns in stochastic interest rate models
• Long-Term Returns in Stochastic Interest Rate Models: Applications
• On the Heston model with stochastic interest rates
• On the mixed fractional Brownian motion
• Option pricing under the Heston model where the interest rate follows the Vasicek model
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• Pricing levered warrants with dilution using observable variables
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Pricing warrant bonds with credit risk under a jump diffusion process
• The pricing of options and corporate liabilities
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure

Cited in

(3)

• Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
• A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
• Pricing exchange options under hybrid stochastic volatility and interest rate models

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