The pricing of vulnerable options in a fractional Brownian motion environment

DOI10.1155/2015/579213zbMath1418.91546OpenAlexW1548992164WikidataQ59106006 ScholiaQ59106006MaRDI QIDQ1723398

Jingyuan Yang, Chao Wang, Sheng-Wu Zhou

Publication date: 19 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/579213

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

The European vulnerable option pricing with jumps based on a mixed model ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ Pricing of European currency options with uncertain exchange rate and stochastic interest rates ⋮ Pricing vulnerable option under jump-diffusion model with incomplete information ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model

Cites Work

• Pricing options with credit risk in Markovian regime-switching markets
• Pricing options with credit risk in a reduced form model
• Stochastic calculus for finance. II: Continuous-time models.
• Valuation of vulnerable American options with correlated credit risk
• Stochastic calculus for fractional Brownian motion and related processes.
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Credit risk valuation. Methods, models, and applications.
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