Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
DOI10.1007/s11579-023-00339-7zbMath1522.91268OpenAlexW4383702692MaRDI QIDQ6051343
Zexing Dai, Panhong Cheng, Zhihong Xu
Publication date: 20 September 2023
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-023-00339-7
Poisson jumpmixed fractional Brownian motionactuarial approachvulnerable optionsstochastic corporate liabilities
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76)
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