Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process

<div>The warrant bond price with different <span class="nowrap"><svg height="11.927pt" id="M218" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 11.1398 11.927" width="11.1398pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z" id="g113-84"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.071,3.132)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z" id="g50-49"></path></g></svg>.</span></div>

Discrete Dynamics in Nature and Society

fig2

Figure 2

Figure 2: Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process 