Pricing vulnerable options in a mixed fractional Brownian motion with jumps

DOI10.1155/2021/4875909zbMath1486.91080OpenAlexW4205787026MaRDI QIDQ2063466

Zhihong Xu, Panhong Cheng

Publication date: 11 January 2022

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

Full work available at URL: https://doi.org/10.1155/2021/4875909

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS

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