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Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

Panhong Cheng, Zhihong Xu, Zexing Dai
Year of publication:
2023
Authors: Cheng, Panhong ; Xu, Zhihong ; Dai, Zexing
Subject: Actuarial approach | Mixed fractional Brownian motion | Poisson jump | Stochastic corporate liabilities | Vulnerable options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility
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