Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
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Publication:4994397
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Cites work
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- Stochastic equity volatility and the capital structure of the firm
- Stochastic equity volatility related to the leverage effect
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Cited in
(19)- Financial jeopardy
- An extention of Samuelson's warrant valuation model and its application to Japanese data
- Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
- Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
- Pricing levered warrants under the CEV diffusion model
- Fair terms and fair pricing for multiple warrant issues
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
- Equity as a call option on assets
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Stochastic equity volatility related to the leverage effect
- scientific article; zbMATH DE number 1865385 (Why is no real title available?)
- Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
- Pricing levered warrants with dilution using observable variables
- Equilibrium exercise of European warrants
- Stochastic pricing formulation for hybrid equity warrants
- Equity valuation under stock dilution and buy-back
- Turbo warrants under stochastic volatility
- Optimal exercise strategies for corporate warrants
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