Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion

Yanmin Ouyang, Jingyuan Yang and Shengwu Zhou

Discrete Dynamics in Nature and Society, 2018, vol. 2018, 1-16

Abstract:

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 method. At the end of this paper, some numerical experiments were adopted to compare the new pricing formula introduced in this paper with the classical Black-Scholes pricing formula. The result showed that the new pricing formula conformed to the actual financial market. In fact, the option value is positively correlated with the underlying asset price and the company’s asset price and the jump process has significant influence on the value of option.

Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/DDNS/2018/4047350.pdf (application/pdf)
http://downloads.hindawi.com/journals/DDNS/2018/4047350.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:4047350

DOI: 10.1155/2018/4047350

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().