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Pricing equity warrants under the sub-mixed fractional Brownian motion regime with stochastic interest rate
AIMS Mathematics 2022, 7(9): 16612-16631
Published: 15 September 2022
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This paper proposes a pricing model for equity warrants under the sub-mixed fractional Brownian motion regime with the interest rate following the Merton short rate model. By using the delta hedging strategy, the corresponding partial differential equations for equity warrants are obtained. Moreover, the explicit pricing formula for equity warrants and some numerical results are given.

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