Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model

Eric Djeutcha and Jules Sadefo Kamdem
Additional contact information
Eric Djeutcha: UMa - University of Maroua

Post-Print from HAL

Abstract: In this paper, in order to serve credit risk management, we introduce a pricing model for a vulnerable Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We use Milstein scheme to find the sample paths of asset price and its volatility, and the sample paths of interest rates of asset price movement. We use the double Mellin transform to obtain an analytical vulnerable bull spread call option formula and an analytical vulnerable bull spread put option formula under fractional stochastic volatility and fractional stochastic interest rates.

Keywords: Bull spread option; Hull-White-Vasicek model; Double Mellin transform (search for similar items in EconPapers)
Date: 2022-06-20
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-03675886v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Operations Research, 2022, ⟨10.1007/s10479-022-04808-y⟩

Downloads: (external link)
https://hal.science/hal-03675886v1/document (application/pdf)

Related works:
Journal Article: Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model (2024)
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:hal:journl:hal-03675886

DOI: 10.1007/s10479-022-04808-y

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().