Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates

A warrant is a derivative that gives the right, but not obligation, to buy or sell security at certain price before expiration. The valuation method was inspired by option because of similarities between these two derivatives. formula under Black–Scholes available in literature. However, known have number flaws; hence, this study aims develop pricing for warrants incorporating jumps, stochastic volatility, and interest rates into model. closed-form presented study, where derivation involves differential equations (SDE), which include Cauchy problem heat equation.