Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion
Joint Authors
Yang, Jingyuan
Shengwu, Zhou
Ouyang, Yanmin
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-12-03
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Ouyang, Yanmin& Yang, Jingyuan& Shengwu, Zhou. 2018. Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-16.
https://search.emarefa.net/detail/BIM-1152554
Modern Language Association (MLA)
Ouyang, Yanmin…[et al.]. Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-16.
https://search.emarefa.net/detail/BIM-1152554
American Medical Association (AMA)
Ouyang, Yanmin& Yang, Jingyuan& Shengwu, Zhou. Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-16.
https://search.emarefa.net/detail/BIM-1152554
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152554