Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Brownian motion and the jump process were used to characterize the evolution of stock prices. The closed-form solution to European option pricing was obtained by applying martingale measure transformation m...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/4047350 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|