Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion

by Yanmin Ouyang, Jingyuan Yang, Shengwu Zhou
Published 2018-01-01

The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

by Chao Wang, Shengwu Zhou, Jingyuan Yang
Published 2015-01-01

A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

by Shengwu Zhou, Wei Li, Yu Wei, Cui Wen
Published 2012-01-01

Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models

by Miao Han, Xuefeng Song, Huawei Niu, Shengwu Zhou
Published 2018-01-01

Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

by Di Pan, Shengwu Zhou, Yan Zhang, Miao Han
Published 2013-01-01