Valuation of equity warrants for uncertain financial market

Foad Shokrollahi

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arXiv · 1711.08356

Valuation of equity warrants for uncertain financial market

Foad Shokrollahi

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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.

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Foad Shokrollahi. 2017-11-22. Valuation of equity warrants for uncertain financial market. https://arxiv.org/abs/1711.08356

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