The greeks for equity warrants under the JSVSR model.

The Greeks, Delta, Gamma, Theta, Vega, and Rho, are used in hedging against risk and analysing the sensitivities of the derivative prices. In this work, we derive the closed-form solution of the Greeks, namely Delta, Gamma, Theta and Vega for equity warrants where the underlying price follows a jump-diffusion dynamics with stochastic volatility and interest rates. Delta measures the rate of change in the derivative's price with respect to the underlying price, Gamma measures the rate of change of Delta, Theta measures the rate of change with respect to time, and Vega measures the rate of change with respect to the volatility. The derivation of the analytical solutions of the Greeks is provided at the end of this paper. A numerical example is also given. [ABSTRACT FROM AUTHOR]