Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm-Reference-Cited by-同舟云学术

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Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm

Published:2012-12 Issue:24 Volume:391 Page:6418-6431
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Xiao Wei-Lin,Zhang Wei-Guo,Zhang Xili,Zhang Xiaoli

Funder

National Social Science Foundation of China

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities, SCUT

Natural Science Foundation of Guangdong Province, China

Distinguished Young Talents in Higher Education of Guangdong, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference65 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Option pricing when underlying stock returns are discontinuous;Merton;J. Finance Econ.,1976

3. The valuation of equity warrants in a fractional Brownian environment;Xiao;Physica A,2012

4. Pricing of warrants and the value of the firm;Galai;J. Finance,1978

5. Pricing warrants: an empirical study of the Black–Scholes model and its alternatives;Lauterbach;J. Finance,1990

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