Valuation of the vulnerable option price based on mixed fractional Brownian motion

DOI10.1155/2018/4047350zbMath1422.91718OpenAlexW2902686665WikidataQ128843083 ScholiaQ128843083MaRDI QIDQ1727085

Jingyuan Yang, Yanmin Ouyang, Sheng-Wu Zhou

Publication date: 20 February 2019

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

Full work available at URL: https://doi.org/10.1155/2018/4047350

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Continuity and singularity of induced measures (60G30)

Related Items (2)

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Towards a better understanding of fractional Brownian motion and its application to finance

Cites Work

• Pricing options with credit risk in Markovian regime-switching markets
• On Cox processes and credit risky securities
• Pricing the risks of default
• Pricing options with credit risk in a reduced form model
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• Mixed fractional Brownian motion
• The pricing of vulnerable options in a fractional Brownian motion environment
• Valuation of vulnerable American options with correlated credit risk
• A note on Wick products and the fractional Black-Scholes model
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
• Credit risk valuation. Methods, models, and applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Valuation of the vulnerable option price based on mixed fractional Brownian motion