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

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

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 24, 6418-6431

Abstract: 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 Algorithm, is employed to solve the nonlinear optimization problem. The performance of our model and the proposed algorithm have been illustrated with some numerical examples.

Keywords: Equity warrants; Mixed fractional Brownian motion; Fourier transform; Genetic Algorithm (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:24:p:6418-6431

DOI: 10.1016/j.physa.2012.07.041

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