Pricing credit derivatives under fractional stochastic interest rate models with jumps

DOI10.1007/s11424-017-5126-8zbMath1369.91189OpenAlexW2602875214MaRDI QIDQ2398847

Rong Li, Shuguang Zhang, Xiuchun Bi, Jiaojiao Zhang

Publication date: 21 August 2017

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-5126-8

zbMATH Keywords

fractional Brownian motionreduced-form approachCDSprimary-secondary framework

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

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