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How would you go about valuing a European warrant that entitles you to a) 1 share of a company and 2) 1 warrant on that same company?

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Welcome to quant.SE and thanks for asking your question here. – Bob Jansen Jul 7 '14 at 15:46

1 Answer 1

up vote 5 down vote accepted

You are essentially dealing with two options:

$EU\,{Warrant}(S_t) = BlackScholesCall(S_t)+CompoundCall(S_t)$

The Black-Scholes formula is known, and Compound Option pricing has various approaches in research which you may find.

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