Vulnerable option pricing under bi-fractional jump-diffusion process

DOI10.3969/J.ISSN.1674-232X.2018.04.017MaRDI QIDQ4624329zbMATH OpenFDO

Authors Yao Wang, Hong Xue

Publication date 22 February 2019

zbMATH Keywords

bi-fractional Brownian motionjump-diffusion processvulnerable optionactuarial approach

Mathematics Subject Classification ID

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

Recommendations

• The pricing of vulnerable options in a fractional Brownian motion environment
• The exchange option pricing model under bifractional jump-diffusion process
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• scientific article; zbMATH DE number 6612473
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps

Cited in

(10)

• scientific article; zbMATH DE number 6612473 (Why is no real title available?)
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• scientific article; zbMATH DE number 6719041 (Why is no real title available?)
• scientific article; zbMATH DE number 6719129 (Why is no real title available?)
• The pricing of vulnerable options in a fractional Brownian motion environment
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• The exchange option pricing model under bifractional jump-diffusion process
• scientific article; zbMATH DE number 6129996 (Why is no real title available?)
• Vulnerable European call option pricing based on uncertain fractional differential equation
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

This page was built for publication: Vulnerable option pricing under bi-fractional jump-diffusion process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4624329)