Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521)
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scientific article; zbMATH DE number 7045970
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| English | Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion |
scientific article; zbMATH DE number 7045970 |
Statements
Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (English)
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18 April 2019
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counterparty risk
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defaultable bond
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fractional Brownian motion
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recovery rate
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Vasicek model
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0.8264662027359009
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0.8139473795890808
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0.7920708656311035
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0.7854520678520203
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0.7777589559555054
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