Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing credit derivatives under fractional stochastic interest rate models with jumps |
scientific article; zbMATH DE number 6762612
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing credit derivatives under fractional stochastic interest rate models with jumps |
scientific article; zbMATH DE number 6762612 |
Statements
Pricing credit derivatives under fractional stochastic interest rate models with jumps (English)
0 references
21 August 2017
0 references
CDS
0 references
fractional Brownian motion
0 references
primary-secondary framework
0 references
reduced-form approach
0 references
0 references
0 references
0.8319072723388672
0 references
0.8039350509643555
0 references
0.7912666201591492
0 references
0.7900554537773132
0 references
