Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion |
scientific article |
Statements
Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (English)
0 references
18 April 2019
0 references
counterparty risk
0 references
defaultable bond
0 references
fractional Brownian motion
0 references
recovery rate
0 references
Vasicek model
0 references
0 references
0 references
