Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach

DOI10.1007/S13540-023-00233-5MaRDI QIDQ6495739

Ji-Hun Yoon, Jinwan Park, Ki-Ahm Lee, Takwon Kim

Publication date: 2 May 2024

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• The pricing of dynamic fund protection with default risk
• Solutions to BSDEs driven by multidimensional fractional Brownian motions
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• Option pricing with Mellin transforms
• Valuing vulnerable geometric Asian options
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing of fixed-strike lookback options on assets with default risk
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Pricing vulnerable options under a stochastic volatility model
• Closed-form pricing formula for exchange option with credit risk
• Pricing perpetual options using Mellin transforms
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• The absence of arbitrage in a model with fractal Brownian motion
• Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

This page was built for publication: Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach