The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
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Publication:1782521
DOI10.1016/j.physa.2013.09.033zbMath1402.91821OpenAlexW2041452637MaRDI QIDQ1782521
Xiao-yan Chen, Wei-Lin Xiao, Wei-Guo Zhang, Xi-Li Zhang
Publication date: 20 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2013.09.033
genetic algorithmpartial differential equation methodequity warrantsfractional Vasicek interest rate modelzero coupon bond
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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