Equity warrants pricing model under Fractional Brownian motion and an empirical study.
Wei-Guo ZhangWei-Lin XiaoChun-Xiong HePublished in: Expert Syst. Appl. (2009)
Keyphrases
- pricing model
- fractional brownian motion
- long range
- non stationary
- financial markets
- stock price
- stock market
- fractal dimension
- bi level
- long range dependence
- random fields
- convertible bonds
- dynamic pricing
- real option
- supply chain
- network traffic
- conditional random fields
- decision makers
- pricing mechanism
- mathematical model
- text classification