Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
DOI10.1080/13504869500000003zbMATH Open1466.91369OpenAlexW2093407615MaRDI QIDQ4994397FDOQ4994397
Authors: Michel Crouhy, Dan Galai, Alain Bensoussan 
Publication date: 18 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869500000003
Recommendations
option pricingleverage effectnumerical methodsstochastic volatilitycorporate financewarrantsfinancial structuresecurity valuation
Cites Work
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Cited In (15)
- Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
- Title not available (Why is that?)
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- An extention of Samuelson's warrant valuation model and its application to Japanese data
- Optimal exercise strategies for corporate warrants
- Financial jeopardy
- Equity valuation under stock dilution and buy-back
- Turbo warrants under stochastic volatility
- Equilibrium exercise of European warrants
- Fair terms and fair pricing for multiple warrant issues
- Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
- Pricing levered warrants with dilution using observable variables
- Stochastic equity volatility related to the leverage effect
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