Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (Q6051343): Difference between revisions
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Revision as of 10:01, 30 July 2024
scientific article; zbMATH DE number 7740223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment |
scientific article; zbMATH DE number 7740223 |
Statements
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (English)
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20 September 2023
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vulnerable options
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actuarial approach
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mixed fractional Brownian motion
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stochastic corporate liabilities
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Poisson jump
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