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Discrete Dynamics in Nature and Society
Volume 2015, Article ID 579213, 10 pages
Research Article

The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

China University of Mining and Technology, Xuzhou 221116, China

Received 6 January 2015; Revised 16 June 2015; Accepted 22 June 2015

Academic Editor: Juan R. Torregrosa

Copyright © 2015 Chao Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being.