The pricing of vulnerable options in a fractional Brownian motion environment
From MaRDI portal
Publication:1723398
DOI10.1155/2015/579213zbMath1418.91546OpenAlexW1548992164WikidataQ59106006 ScholiaQ59106006MaRDI QIDQ1723398
Jingyuan Yang, Chao Wang, Sheng-Wu Zhou
Publication date: 19 February 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/579213
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (9)
The European vulnerable option pricing with jumps based on a mixed model ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ Pricing of European currency options with uncertain exchange rate and stochastic interest rates ⋮ Pricing vulnerable option under jump-diffusion model with incomplete information ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model
Cites Work
- Pricing options with credit risk in Markovian regime-switching markets
- Pricing options with credit risk in a reduced form model
- Stochastic calculus for finance. II: Continuous-time models.
- Valuation of vulnerable American options with correlated credit risk
- Stochastic calculus for fractional Brownian motion and related processes.
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Credit risk valuation. Methods, models, and applications.
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: The pricing of vulnerable options in a fractional Brownian motion environment
