Convertible bond pricing with default risk in fractional jump-diffusion O-U process (Q2993933)
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scientific article; zbMATH DE number 6612460
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| English | Convertible bond pricing with default risk in fractional jump-diffusion O-U process |
scientific article; zbMATH DE number 6612460 |
Statements
10 August 2016
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fractional Brownian motion
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jump-diffusion process
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O-U process
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default risk
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convertible bond
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actuarial approach
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0.8426489233970642
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0.8235124349594116
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0.8114699721336365
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0.7945421934127808
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0.790632426738739
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