Empirical study of Jump Diffusion warrant pricing model on the Stock Exchange of Singapore.
Chiam, Fong Sin.
Loh, Yuh Por.
Yeo, Poh Seng.
Date of Issue1995
College of Business (Nanyang Business School)
Warrants have become a popular financial instrument for companies raising funds in the local capital markets. When considering investments in warrants, financial analysts and brokers commonly apply a standard call option model to the underlying stock. The pricing of warrants is a natural extension of option pricing models because of the many similarities between call options and warrants.
NANYANG TECHNOLOGICAL UNIVERSITY