Pricing vulnerable options in a mixed fractional Brownian motion with jumps
type: Item
instance of: scholarly article
title: Pricing vulnerable options in a mixed fractional Brownian motion with jumps
zbMATH Open document ID: 1486.91080
DOI: 10.1155/2021/4875909
author: Panhong Cheng
author: Zhi Hong Xu
published in: Discrete Dynamics in Nature and Society
publication date: 2022-01-11T00:00:00Z
review text: Summary: A new framework for pricing European vulnerable options is developed in the case where the underlying stock price and firm value follow the mixed fractional Brownian motion with jumps, respectively. This research uses the actuarial approach to study the pricing problem of European vulnerable options. An analytic closed-form pricing formula for vulnerable options with jumps is obtained. For the purpose of understanding the pricing model, some properties of this pricing model are discussed in the paper. Finally, we compare and analyze the pricing results of different pricing models and discuss the influences of basic parameters on the pricing results of our proposed model by using numerical simulations, and the corresponding economic analyses about these influences are given.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 7455398
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/4875909
OpenAlex ID: W4205787026
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description: scientific article; zbMATH DE number 7455398