Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Year of publication: |
February 2016
|
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Authors: | Gu, Wenjing ; Liu, Yinglin ; Hao, Ruili |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 2, p. 247-259
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Subject: | Credit Default Swap | Fractional Brownian Motion | Contagious Risk | Hyperbolic Attenuation Effect | Looping Default | Stochastischer Prozess | Stochastic process | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Swap | Derivat | Derivative |
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