Pages that link to "Item:Q1782751"
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The following pages link to The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751):
Displayed 12 items.
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (Q256747) (← links)
- The quadratic variation for mixed-fractional Brownian motion (Q347449) (← links)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment (Q1992912) (← links)
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
- An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470) (← links)
- Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847) (← links)