Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
Résumé
In this paper, in order to serve credit risk management, we introduce a pricing model for a vulnerable
Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and
stochastic interest rate model. We use Milstein scheme to find the sample paths of asset price
and its volatility, and the sample paths of interest rates of asset price movement. We use the
double Mellin transform to obtain an analytical vulnerable bull spread call option formula and
an analytical vulnerable bull spread put option formula under fractional stochastic volatility and
fractional stochastic interest rates.
Domaines
Economies et financesOrigine | Fichiers produits par l'(les) auteur(s) |
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