Résumé
In this paper, we present a pricing model for an Asset-or-Nothing call option under the mixed modified fractional Hull-White-Vasicek(MMFHWV) model, which incorporates stochastic volatility and stochastic interest rates. Our results show that the option value decreases as α increases and converges to underlying asset value as α decreases.We employ the double mellin transform to obtain the analytical solutions. Furthermore, we use the Monte Carlo approach to estimate the option value invarious scenarios of α, providing a robust and efficient method to price vulnerable options. In particular, our contribution significantly expands the existing literature on vulnerable options, providing new insights and a more comprehensive understanding of these complex financial instruments.