The pricing of vulnerable options in a fractional Brownian motion environment

DOI10.1155/2015/579213zbMATH Open1418.91546OpenAlexW1548992164WikidataQ59106006 ScholiaQ59106006MaRDI QIDQ1723398FDOQ1723398

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)

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

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Mathematics Subject Classification ID

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

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic calculus for fractional Brownian motion and related processes.
• Pricing options with credit risk in a reduced form model
• Stochastic Calculus for Fractional Brownian Motion and Applications
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Title not available (Why is that?)
• Credit risk valuation. Methods, models, and applications.
• Pricing options with credit risk in Markovian regime-switching markets
• Valuation of vulnerable American options with correlated credit risk
• Fractional Brownian motion in finance
• Pricing formulae for European options under the fractional Vasicek interest rate model

Cited In (22)

• Proactive hedging European call option pricing with linear position strategy
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
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• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
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• Vulnerable European call option pricing based on uncertain fractional differential equation
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
• Option pricing under default risk based on fractional Ho-Lee stochastic interest rate model
• Pricing of proactive hedging European option with dynamic discrete position strategy
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates
• Measure transformation and option pricing in fractional Brownian motion environment
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• Vulnerable option pricing under bi-fractional jump-diffusion process
• Title not available (Why is that?)
• The European vulnerable option pricing with jumps based on a mixed model
• Pricing vulnerable option under jump-diffusion model with incomplete information
• Defaultable probability of fund with promised lowest return under mixed jump-diffusion fractional Brownian motion
• The martingale approach for vulnerable binary option pricing under stochastic interest rate
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
• Title not available (Why is that?)

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