The pricing of credit default swaps under a generalized mixed fractional Brownian motion

DOI10.1016/j.physa.2014.02.046zbMath1402.91847OpenAlexW2048869686MaRDI QIDQ1782751

Xin-Jiang He, Wen-Ting Chen

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/eispapers/3453

zbMATH Keywords

credit default swapsgeneralized mixed fractional Brownian motionpricing swaps

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

• Pricing the risks of default
• When is a linear combination of independent fBm's equivalent to a single fBm?
• Stock market prices and long-range dependence
• Arbitrage in fractional Brownian motion models
• Mixed fractional Brownian motion
• Pricing currency options in the mixed fractional Brownian motion
• A note on Wick products and the fractional Black-Scholes model
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Stochastic analysis of fractional brownian motions
• A General Fractional White Noise Theory And Applications To Finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
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