Pricing Vulnerable Options in the Bifractional Brownian Environment with Jumps
In this paper, we study the valuation of European vulnerable options where the underlying asset price and the firm value of the counterparty both follow the bifractional Brownian motion with jumps, respectively. We assume that default event occurs when the firm value of the counterparty is less than...
Guardado en:
| Autores principales: | , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Wiley
2021-01-01
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| Colección: | Journal of Mathematics |
| Acceso en línea: | http://dx.doi.org/10.1155/2021/1451692 |
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