Valuation of the vulnerable option price based on mixed fractional Brownian motion
type: Item
instance of: scholarly article
title: Valuation of the vulnerable option price based on mixed fractional Brownian motion
zbMATH Open document ID: 1422.91718
DOI: 10.1155/2018/4047350
author: Yanmin Ouyang
author: Jingyuan Yang
author: Sheng-Wu Zhou
published in: Discrete Dynamics in Nature and Society
publication date: 2019-02-20T00:00:00Z
review text: Summary: The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Brownian motion and the jump process were used to characterize the evolution of stock prices. The closed-form solution to European option pricing was obtained by applying martingale measure transformation method. At the end of this paper, some numerical experiments were adopted to compare the new pricing formula introduced in this paper with the classical Black-Scholes pricing formula. The result showed that the new pricing formula conformed to the actual financial market. In fact, the option value is positively correlated with the underlying asset price and the company's asset price and the jump process has significant influence on the value of option.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G30
zbMATH DE Number: 7026572
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/4047350
OpenAlex ID: W2902686665
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Wikidata QID: Q128843083
description: scientific article; zbMATH DE number 7026572