Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model

DOI10.1007/s10479-022-04808-yMaRDI QIDQ6547039

Jules Sadefo Kamdem, Eric Djeutcha

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

double Mellin transformbull spread optionfractional Hull-White-Vasicek model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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