Xiao, Wei-Lin; Zhang, Wei-Guo; Zhang, Xili; Zhang, Xiaoli - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6418-6431
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...