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Author Ouyang, Yanmin ♦ Yang, Jingyuan ♦ Zhou, Shengwu
Editor Zhang, Guang
Source Hindawi
Content type Text
Publisher Hindawi
File Format PDF
Copyright Year ©2018
Language English
Abstract The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Brownian motion and the jump process were used to characterize the evolution of stock prices. The closed-form solution to European option pricing was obtained by applying martingale measure transformation method. At the end of this paper, some numerical experiments were adopted to compare the new pricing formula introduced in this paper with the classical Black-Scholes pricing formula. The result showed that the new pricing formula conformed to the actual financial market. In fact, the option value is positively correlated with the underlying asset price and the company’s asset price and the jump process has significant influence on the value of option.
ISSN 10260226
Learning Resource Type Article
Publisher Date 2018-12-03
Rights License 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.
e-ISSN 1607887X
Journal Discrete Dynamics in Nature and Society
Volume Number 2018
Page Count 16


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