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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$\begingroup$ Welcome to quant.SE and thanks for asking your question here. $\endgroup$– Bob Jansen ♦Commented Jul 7, 2014 at 15:46
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1 Answer
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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.
