Research Article
Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps
Table 1
Parameter values of European vulnerable call option in the base case.
| Parameter | Value | Parameter | Value |
| Initial value of | | Initial value of | | Strike price | | Interest rate | | Value of total liabilities | | Default boundary | | Ratio of bankruptcy costs | | Time to maturity | | Volatility of | | Volatility of | | Volatility of under FBM | | Volatility of under FBM | | Correlation coefficient between and | | Correlation coefficient between and | | Jump intensity of | | Jump intensity of | | Mean jump size of | | Mean jump size of | | Standard deviation of | | Standard deviation of | | Jump frequency of | | Jump frequency of | |
|
|