Xiao, Weilin; Zhang, Weiguo; Zhang, Xili; Chen, Xiaoyan - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 320-337
maturities of equity warrants, we propose the fractional Vasicek model to describe the dynamics of the short rate in the pricing … environment of equity warrants. Using the partial differential equation approach, we present a valuation model for equity warrants … equity warrants, we provide the parameter estimation procedure for the proposed pricing model. Since obtaining the values of …