Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps
A new framework for pricing European vulnerable options is developed in the case where the underlying stock price and firm value follow the mixed fractional Brownian motion with jumps, respectively. This research uses the actuarial approach to study the pricing problem of European vulnerable options...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/4875909 |
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