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Valuation of equity warrants for uncertain financial market

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  • Foad Shokrollahi

Abstract

In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain calculus. Based on the assumption that the firm price follows an uncertain differential equation, the equity warrants pricing formula is obtained for uncertain stock model.

Suggested Citation

  • Foad Shokrollahi, 2017. "Valuation of equity warrants for uncertain financial market," Papers 1711.08356, arXiv.org, revised Nov 2017.
    • Handle: RePEc:arx:papers:1711.08356
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    1. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    2. Kremer, Joseph W. & Roenfeldt, Rodney L., 1993. "Warrant Pricing: Jump-Diffusion vs. Black-Scholes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 255-272, June.
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    4. Zhang, Zhiqiang & Liu, Weiqi & Sheng, Yuhong, 2016. "Valuation of power option for uncertain financial market," Applied Mathematics and Computation, Elsevier, vol. 286(C), pages 257-264.
    5. Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012. "The valuation of equity warrants in a fractional Brownian environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752.
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