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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. Keywords-warrant bonds; fractional brownian motion; option; risk-neutral pricing theory