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In this paper we propose an extension of the Merton model. We apply thesubdiffusive mechanism to analyze equity warrant in a fractional Brownianmotion environment, when the short rate follows the subdiffusive fractionalBlack-Scholes model. We obtain the pricing formula for zero-coupon bond in theintroduced model and derive the partial differential equation with appropriateboundary conditions for the valuation of equity warrant. Finally, the pricingformula for equity warrant is provided under subdiffusive fractional Brownianmotion model of the short rate.

Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate