短期利率的次扩散分数布朗运动下的认股权证定价
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
摘要：
在本文中，我们提出了一个扩展的默顿模型。在分数布朗运动环境下，当短期利率服从分数布莱克-斯科尔斯模型时，我们应用次扩散机制来分析认股权证。在引入的模型下，我们得到了零息债券的定价公式，并推导出了具有适当边界条件的权益权证定价的偏微分方程。最后给出了短期利率服从次扩散分数布朗运动模型的权证定价公式。
英文摘要：
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.
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