Title: Vulnerable option pricing in sub-fractional Brownian motion environment
Abstract: Sub-fractional Brownian motion model is employed to the vulnerable option pricing.Assume that stock price and corporate value obey the stochastic differential equation driven by sub-fractional Brownian motion,the vulnerable option pricing model in sub-fractional Brownian motion environment is established.Using the stochastic analysis of the fractional Brownian motion and the method of actuarial mathematics,the pricing formula for vulnerable option is obtained by sub-fractional Brownian motion.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
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Cited By Count: 1
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