The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment
Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2015-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2015/579213 |
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| _version_ | 1832552142069563392 |
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| author | Chao Wang Shengwu Zhou Jingyuan Yang |
| author_facet | Chao Wang Shengwu Zhou Jingyuan Yang |
| author_sort | Chao Wang |
| collection | DOAJ |
| description | Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being. |
| format | Article |
| id | doaj-art-18ae0637bfff4486afa0004316f53623 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-18ae0637bfff4486afa0004316f536232025-02-03T05:59:27ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2015-01-01201510.1155/2015/579213579213The Pricing of Vulnerable Options in a Fractional Brownian Motion EnvironmentChao Wang0Shengwu Zhou1Jingyuan Yang2China University of Mining and Technology, Xuzhou 221116, ChinaChina University of Mining and Technology, Xuzhou 221116, ChinaChina University of Mining and Technology, Xuzhou 221116, ChinaUnder the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being.http://dx.doi.org/10.1155/2015/579213 |
| spellingShingle | Chao Wang Shengwu Zhou Jingyuan Yang The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment Discrete Dynamics in Nature and Society |
| title | The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment |
| title_full | The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment |
| title_fullStr | The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment |
| title_full_unstemmed | The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment |
| title_short | The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment |
| title_sort | pricing of vulnerable options in a fractional brownian motion environment |
| url | http://dx.doi.org/10.1155/2015/579213 |
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