The pricing of vulnerable options in a fractional Brownian motion environment

DOI10.1155/2015/579213MaRDI QIDQ1723398zbMATH OpenOpenAlexWikidataFDO

Authors Chao Wang, Jingyuan Yang, Sheng-Wu Zhou

Publication date 19 February 2019

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/579213

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• Credit risk valuation. Methods, models, and applications.
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian motion in finance
• Pricing formulae for European options under the fractional Vasicek interest rate model
• Pricing options with credit risk in Markovian regime-switching markets
• Pricing options with credit risk in a reduced form model
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic calculus for fractional Brownian motion and related processes.
• Valuation of vulnerable American options with correlated credit risk

Cited in

(22)

• scientific article; zbMATH DE number 6612473 (Why is no real title available?)
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• Efficient option pricing in crisis based on dynamic elasticity of variance model
• scientific article; zbMATH DE number 5209853 (Why is no real title available?)
• The European vulnerable option pricing with jumps based on a mixed model
• scientific article; zbMATH DE number 1867090 (Why is no real title available?)
• Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
• Measure transformation and option pricing in fractional Brownian motion environment
• Proactive hedging European call option pricing with linear position strategy
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• Vulnerable option pricing under bi-fractional jump-diffusion process
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates
• Defaultable probability of fund with promised lowest return under mixed jump-diffusion fractional Brownian motion
• Vulnerable European call option pricing based on uncertain fractional differential equation
• scientific article; zbMATH DE number 6907295 (Why is no real title available?)
• 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
• Option pricing under default risk based on fractional Ho-Lee stochastic interest rate model
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

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