Vulnerable Option Pricing in Bi-fractional Vasicek Interest Rate Environment

WANG Yao; XUE Hong

doi:10.3969/j.issn.1672-9722.2019.03.003

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DOI: 10.3969/j.issn.1672-9722.2019.03.003

Vulnerable Option Pricing in Bi-fractional Vasicek Interest Rate Environment

WANG Yao

XUE Hong

Abstract：It is assumed that the stock prices,the firm value and corporate liability satisfy the stochastic differential equation driven by bi-fractional Brownian,and interest rate satisfies Vasciek. The financial mathematics model is built,and the pricing prob?lem of the vulnerable option is discussed by the theory of bi-fractional Brownian. The pricing formula of the vulnerable option is ob?tained by the actuarial approach.

Keywords：Vasicek ratebi-fractional Brownian motionactuarial approachvulnerable option

Publication Date：2019-01-01

Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)

Pages：5( 503-507 )

Computer and Digital Engineering

ISTIC

ISSN：1672-9722

Year, Vol.(Issue)：2019,47(3)