This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian environment. Based on the quasi-conditional expectation and the Fourier transform, we present the pricing model for equity warrants. Moreover, a hybrid intelligent algorithm, which is based on the Genetic...

Motivated by the empirical evidence of long range dependence in short-term interest rates and considering the long 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...

In this paper, we discuss the valuation of equity warrants in the geometric fractional Brownian environment based on the equilibrium condition. Using the conditional expectation we present a fractional pricing model for equity warrants and analyze the influence of the Hurst parameter. Then we...