Numerical Methods for Mathematical Models on Warrant Pricing

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dc.contributor.advisorPatidar, Kailash C.
dc.contributor.authorLondani, Mukhethwa
dc.date.accessioned2021-04-19T11:12:29Z
dc.date.accessioned2024-10-30T14:00:36Z
dc.date.available2021-04-19T11:12:29Z
dc.date.available2024-10-30T14:00:36Z
dc.date.issued2010
dc.description>Magister Scientiae - MScen_US
dc.description.abstractWarrant pricing has become very crucial in the present market scenario. See, for example, M. Hanke and K. Potzelberger, Consistent pricing of warrants and traded options, Review Financial Economics 11(1) (2002) 63-77 where the authors indicate that warrants issuance affects the stock price process of the issuing company. This change in the stock price process leads to subsequent changes in the prices of options written on the issuing company's stocks. Another notable work is W.G. Zhang, W.L. Xiao and C.X. He, Equity warrant pricing model under Fractional Brownian motion and an empirical study, Expert System with Applications 36(2) (2009) 3056-3065 where the authors construct equity warrants pricing model under Fractional Brownian motion and deduce the European options pricing formula with a simple method. We study this paper in details in this mini-thesis. We also study some of the mathematical models on warrant pricing using the Black-Scholes framework. The relationship between the price of the warrants and the price of the call accounts for the dilution effect is also studied mathematically. Finally we do some numerical simulations to derive the value of warrants.en_US
dc.identifier.urihttps://hdl.handle.net/10566/16910
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.rights.holderUniversity of the Western Capeen_US
dc.subjectWarrant pricingen_US
dc.subjectFractional Brownian motionen_US
dc.subjectGeometric Brownian motionen_US
dc.subjectBlack-Scholes modelen_US
dc.subjectJump diffusion modelsen_US
dc.subjectOption-pricing modelen_US
dc.subjectDilution effectsen_US
dc.subjectVolatilityen_US
dc.subjectMathematical analysisen_US
dc.subjectNumerical simulationsen_US
dc.titleNumerical Methods for Mathematical Models on Warrant Pricingen_US

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