论文标题
股权保证根据短期布朗尼的宽度分数下价定价
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
论文作者
论文摘要
在本文中，我们提出了默顿模型的扩展。当短速率遵循次序分数黑色旋风模型时，我们将宽大的机制应用于分数布朗运动环境中分析公平保证。我们在引入的模型中获得了零息键的定价公式，并以适当的边界条件得出了股权估值的适当边界条件的定价公式。最后，股权认股权证的定价公式是在短率的分数布朗运动模型下提供的。
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short rate follows the subdiffusive fractional Black-Scholes model. We obtain the pricing formula for zero-coupon bond in the introduced model and derive the partial differential equation with appropriate boundary conditions for the valuation of equity warrant. Finally, the pricing formula for equity warrant is provided under subdiffusive fractional Brownian motion model of the short rate.
