Abstract
In 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.