| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481529 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠A pricing model for equity warrants in fractional Brownian motion is provided. ⺠We analyze the influence of the Hurst parameter on the pricing model. ⺠We present an algorithm to obtain the valuations of equity warrants. ⺠We take five warrants as an empirical study. ⺠The comparison of empirical study shows the accuracy of our pricing formula.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Weilin Xiao, Weiguo Zhang, Weijun Xu, Xili Zhang,