Valuation of Vulnerable Barrier Options in a Mixed Fractional Brownian Motion Environment

Xinyi Liu

doi:10.53469/jgebf.2024.06(07).05

Authors

Xinyi Liu College of Mathematics and Statistics, Guangxi Normal University, Yanshan, Guilin, China

DOI:

https://doi.org/10.53469/jgebf.2024.06(07).05

Keywords:

Vulnerable barrier option, Mix fractional Brownian motion, Measure transformation

Abstract

The analytical pricing formula of vulnerable barrier option when the underlying asset and counterparty asset follows a geometric mixed fractional Brownian motion, with Hurst parameter H∈(0,1), is considered. The derivation of the close-form pricing formula of the vulnerable barrier option is described in detail.

References

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The URL of the reference

https://onlinelibrary.wiley.com/doi/10.1155/2021/4875909

https://link.springer.com/article/10.1007/s11579-023-00339-7

https://www.sciencedirect.com/science/article/abs/pii/S0957417423014227?via%3Dihub

https://onlinelibrary.wiley.com/doi/10.1155/JAMSA/2006/32435

https://www.sciencedirect.com/science/article/abs/pii/S0167668707000509

https://www.sciencedirect.com/science/article/abs/pii/S1544612321001811?via%3Dihub

https://www.sciencedirect.com/science/article/abs/pii/S1062940823001924?via%3Dihub