The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
Year of publication: |
2014
|
---|---|
Authors: | Xiao, Weilin ; Zhang, Weiguo ; Zhang, Xili ; Chen, Xiaoyan |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 394.2014, C, p. 320-337
|
Publisher: |
Elsevier |
Subject: | Equity warrants | Zero coupon bond | Fractional Vasicek interest rate model | Partial differential equation method | Genetic Algorithm |
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