The Pricing for Warrant Bonds under Fractional Brownian Motion
Authors
F.Y Chen, Y.Y Tan, Y.Q Li
Corresponding Author
F.Y Chen
Available Online June 2015.
- DOI
- 10.2991/cisia-15.2015.201How to use a DOI?
- Keywords
- warrant bonds; fractional brownian motion; option; risk-neutral pricing theory
- Abstract
Assuming that the underlying stock follows Fractional Brownian motion and that stochastic interest rate meets the Vasicek model of interest rates, this paper establishes pricing model of Warrant Bonds and deduces the pricing formula of Warrant Bonds by utilizing risk-neutral valuation theory. Finally, this paper analyzes influence of concerned parameters of pricing model on the value of Warrant Bonds by using the numerical simulations.
- Copyright
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - F.Y Chen AU - Y.Y Tan AU - Y.Q Li PY - 2015/06 DA - 2015/06 TI - The Pricing for Warrant Bonds under Fractional Brownian Motion BT - Proceedings of the International Conference on Computer Information Systems and Industrial Applications PB - Atlantis Press SP - 738 EP - 741 SN - 2352-538X UR - https://doi.org/10.2991/cisia-15.2015.201 DO - 10.2991/cisia-15.2015.201 ID - Chen2015/06 ER -