🎯 Exotic Warrant Pricing Demo

About this demo: This tool prices exotic warrants with weekly strike resets, issuer buyback options, and correlated equity/credit risk using Monte Carlo simulation with Longstaff-Schwartz least squares regression.

Initial Stock Price (S₀)

Strike Discount Factor

Buyback Price

Time to Maturity (years)

Volatility (σ)

Equity-Credit Correlation

Recovery Rate

Number of Monte Carlo Paths

Number of Time Steps

Polynomial Degree for Regression

🎯 Exotic Warrant Pricing Demo

Forward Rate Curve

Credit Spread Curve

Calculation Result