Add to ORKGInternational audienceIn this paper, in order to serve credit risk management, we introduce a pricing model for a vulnerableBull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility andstochastic interest rate model. We use Milstein scheme to find the sample paths of asset priceand its volatility, and the sample paths of interest rates of asset price movement. We use thedouble Mellin transform to obtain an analytical vulnerable bull spread call option formula andan analytical vulnerable bull spread put option formula under fractional stochastic volatility andfractional stochastic interest rates
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
We establish double Heston model with approximative fractional stochastic volatility in this article...
This thesis is about pricing interest rate options in a negative interest rate environment and about...
International audienceIn this paper, in order to serve credit risk management, we introduce a pricin...
International audienceWe price options so as to take into account the existence of memory (short or ...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
Abstract: In this paper pricing for vulnerable options is investigated. The discussed payoff functio...
In this paper we propose a model to price European vulnerable options. We formulate their credit ris...
Abstract. This work investigates financial models for option pricing, interest rates and credit risk...
We consider the vulnerable option pricing problem when the stochastic interest rate is driven by a H...
In this paper, we combine the reduced-form model with the structural model to discuss the European v...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
We establish double Heston model with approximative fractional stochastic volatility in this article...
This thesis is about pricing interest rate options in a negative interest rate environment and about...
International audienceIn this paper, in order to serve credit risk management, we introduce a pricin...
International audienceWe price options so as to take into account the existence of memory (short or ...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
Abstract: In this paper pricing for vulnerable options is investigated. The discussed payoff functio...
In this paper we propose a model to price European vulnerable options. We formulate their credit ris...
Abstract. This work investigates financial models for option pricing, interest rates and credit risk...
We consider the vulnerable option pricing problem when the stochastic interest rate is driven by a H...
In this paper, we combine the reduced-form model with the structural model to discuss the European v...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
We establish double Heston model with approximative fractional stochastic volatility in this article...
This thesis is about pricing interest rate options in a negative interest rate environment and about...