European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate

doi:10.1080/03610918.2024.2413907

	European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate
	Guo, Jingjun1,2 ; Wang, Yubing 1; Kang, Weiyi 1
	2024-10-10
发表期刊	COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
摘要	With the development of financial markets, the trading of financial derivatives has become more flexible. To meet the demands of investors, over-the-counter (OTC) trading of options has also become increasingly frequent, raising concerns about accurately pricing vulnerable options. This study investigates the pricing problem of European vulnerable options under the sub-mixed fractional jump-diffusion (SMFJ) model. Firstly, the underlying asset price model and the counterparty company value model are established under the SMFJ model with a sub-mixed fractional Vasicek stochastic interest rate. Then, analytical solutions for the European vulnerable options are obtained using the quasi-martingale measure transformation and the risk-neutral pricing method. Additionally, the accuracy of the pricing formula is verified through the Monte Carlo simulation method. Finally, the rationality and validity of the established model are confirmed by numerical simulations, and the influence of key parameters on the pricing models is analyzed.
关键词	European vulnerable option pricing Quasi-martingale measure Stochastic interest rate Sub-mixed fractional jump process
DOI	10.1080/03610918.2024.2413907
收录类别	SCIE
ISSN	0361-0918
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:001337394300001
出版者	TAYLOR & FRANCIS INC
原始文献类型	Article ; Early Access
EISSN	1532-4141
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/38152
专题	统计与数据科学学院
通讯作者	Wang, Yubing
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat & Data Sci, Lanzhou, Gansu, Peoples R China; 2.Ctr Quantitat Anal Gansu Econ Dev, Lanzhou, Gansu, Peoples R China
第一作者单位	兰州财经大学
通讯作者单位	兰州财经大学
推荐引用方式 GB/T 7714	Guo, Jingjun,Wang, Yubing,Kang, Weiyi. European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,2024.
APA	Guo, Jingjun,Wang, Yubing,&Kang, Weiyi.(2024).European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate.COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION.
MLA	Guo, Jingjun,et al."European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate".COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION (2024).