Equity warrants pricing model under Fractional Brownian motion and an empirical study |
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| Authors: | Wei-Guo Zhang Wei-Lin Xiao Chun-Xiong He |
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| Affiliation: | 1. School of Business Administration, South China University of Technology, Guangzhou 510641, PR China;2. Applied Mathematic Department, South China University of Technology, Guangzhou 510641, PR China;1. College of Energy and Electrical Engineering, Hohai University, Nanjing 210098, China;2. State Grid Electric Power Research Institute, Nanjing 210003, China;1. School of Electronic and Electrical Engineering, Shanghai University of Engineering Science, Shanghai, PR China;2. Energy Department, Politecnico di Milano, Campus Bovisa, Via La Masa 34/3, Milano, MI 20156, Italy;3. Department of Medical Physics and Informatics, Bashkir State Medical University, Lenina st. 3, Ufa 450008, Russia |
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| Abstract: | In this paper, we construct equity warrants pricing model under Fractional Brownian motion, deduce the European options pricing formula with a simple method, then propose the warrants pricing formula, and extend it to cover equity warrants on a stock providing dividends. Finally, taking Changdian warrant in Chinese stock market as an example, we illustrate that the results based on the new warrants pricing formula is more accuracy than the classical results based on traditional pricing model. |
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