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

Autor: Yanmin Ouyang, Jingyuan Yang, Shengwu Zhou
Jazyk: angličtina
Rok vydání: 2018
Předmět:
Zdroj: Discrete Dynamics in Nature and Society, Vol 2018 (2018)
Druh dokumentu: article
ISSN: 1026-0226
1607-887X
DOI: 10.1155/2018/4047350
Popis: 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.
Databáze: Directory of Open Access Journals
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