Abstract
Equity warrant is a contract which permits a holder to own the warrant but not the duty to buy or sell the underlying asset at a certain date for a strike price. Pricing equity warrant is more complicated than pricing standard options, because the equity warrants have to take into account the change of policy options at any time during the tenure of the warrants. This paper takes into account the experts’ opinion that the pricing is not only influenced by the randomness but also the degree of belief of the investors. Therefore, we propose the mean-reverting stock model to analyze the equity warrants using uncertainty theory. In this paper, three types of equity warrants pricing formulas namely European equity warrant, American equity warrant, and Asian equity warrant have been developed based on the uncertain mean-reverting model. The result shows that it is more effective which can be achieved with the uncertainty theory.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
