The pricing of credit default swaps under a generalized mixed fractional Brownian motion
Year of publication: |
2014
|
---|---|
Authors: | He, Xinjiang ; Chen, Wenting |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 404.2014, C, p. 26-33
|
Publisher: |
Elsevier |
Subject: | Generalized mixed fractional Brownian motion | Credit default swaps | Pricing swaps |
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