Empirical study of Jump Diffusion warrant pricing model on the Stock Exchange of Singapore.

• Main Authors: Chiam, Fong Sin., Loh, Yuh Por., Yeo, Poh Seng.
• Other Authors: Lau, Sie Ting
• Format: Theses and Dissertations
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/20086
• Institution: Nanyang Technological University

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 o...