Abstract
In this paper, inside the system of uncertainty theory, the valuation of equity warrants is explored. Different from the strategies of probability theory, the valuation problem of equity warrants is unraveled by utilizing the strategy of uncertain calculus. Based on the suspicion that the firm price follows an uncertain differential equation, a valuation formula of equity warrants is proposed for an uncertain stock model.
Subject
Applied Mathematics,Computational Mathematics,General Engineering
Reference18 articles.
1. The Pricing of Options and Corporate Liabilities
2. Uncertainty theory;Liu,2007
3. Some research problems in uncertainty theory;Liu;J. Uncertain Syst.,2009
4. American option pricing formula for uncertain financial market;Chen;Int. J. Oper. Res.,2011
5. Uncertain term structure model of interest rate