Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short rate follows the subdiffusive fractional Black-Scholes model. We obtain the pricing formula for zero-coupon bond in the introduced model and derive the partial different...
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Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
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TN_cdi_proquest_journals_2427411060
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2427411060
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2331-8422
