| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482109 | Physica A: Statistical Mechanics and its Applications | 2012 | 14 Pages |
Abstract
⺠A pricing model for equity warrants in the mixed fractional Brownian motion is provided. ⺠A hybrid intelligent algorithm is employed to obtain the valuations of equity warrants. ⺠The performance of our model and the proposed algorithm have been illustrated with some numerical examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Wei-Lin Xiao, Wei-Guo Zhang, Xili Zhang, Xiaoli Zhang,