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Discrete Dynamics in Nature and Society
Volume 2015, Article ID 579213, 10 pages
http://dx.doi.org/10.1155/2015/579213
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.

Citations to this Article [9 citations]

The following is the list of published articles that have cited the current article.

  • Chao Wang, and Jianmin He, “The European vulnerable option pricing based on jump-diffusion process in fractional market,” 2017 17th International Conference on Control, Automation and Systems (ICCAS), pp. 568–573, . View at Publisher · View at Google Scholar
  • Congyin Fan, Kaili Xiang, and Peimin Chen, “Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model,” Discrete Dynamics in Nature and Society, vol. 2016, pp. 1–9, 2016. View at Publisher · View at Google Scholar
  • Chao Wang, Jianmin He, and Shouwei Li, “The European Vulnerable Option Pricing with Jumps Based on a Mixed Model,” Discrete Dynamics in Nature and Society, vol. 2016, pp. 1–9, 2016. View at Publisher · View at Google Scholar
  • Meng Li, Xuefeng Wang, and Fangfang Sun, “Proactive Hedging European Call Option Pricing with Linear Position Strategy,” Discrete Dynamics in Nature and Society, vol. 2018, pp. 1–13, 2018. View at Publisher · View at Google Scholar
  • Yanmin Ouyang, Jingyuan Yang, and Shengwu Zhou, “Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion,” Discrete Dynamics in Nature and Society, vol. 2018, pp. 1–16, 2018. View at Publisher · View at Google Scholar
  • Yang Jiahui, Zhou Shengwu, Zhou Haitao, and Guo Kaiqiang, “Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information,” Discrete Dynamics in Nature and Society, vol. 2019, pp. 1–8, 2019. View at Publisher · View at Google Scholar
  • Meng Li, Xuefeng Wang, and Fangfang Sun, “Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy,” Discrete Dynamics in Nature and Society, vol. 2019, pp. 1–11, 2019. View at Publisher · View at Google Scholar
  • Xiao Wang, “Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates,” Discrete Dynamics in Nature and Society, vol. 2019, pp. 1–10, 2019. View at Publisher · View at Google Scholar
  • Qing Zhou, Weixing Wu, and Qian Wang, “Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion,” Journal of Systems Science and Complexity, 2019. View at Publisher · View at Google Scholar