Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps

Table 1

Parameter values of European vulnerable call option in the base case.

Parameter	Value	Parameter	Value
Initial value of		Initial value of
Strike price		Interest rate
Value of total liabilities		Default boundary
Ratio of bankruptcy costs		Time to maturity
Volatility of		Volatility of
Volatility of under FBM		Volatility of under FBM
Correlation coefficient between and		Correlation coefficient between and
Jump intensity of		Jump intensity of
Mean jump size of		Mean jump size of
Standard deviation of		Standard deviation of
Jump frequency of		Jump frequency of