Vulnerable option pricing under bi-fractional jump-diffusion process

DOI10.3969/J.ISSN.1674-232X.2018.04.017zbMATH Open1424.91138MaRDI QIDQ4624329FDOQ4624329

Authors: Yao Wang, Hong Xue 

Publication date: 22 February 2019

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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)

Cited In (10)

• Title not available (Why is that?)
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• 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
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